Is it possible to “await yield return DoSomethingAsync()”

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What you are describing can be accomplished with the Task.WhenAll method. Notice how the code turns into a simple one-liner. What happens is that each individual url begins downloading and then WhenAll is used combine those operations into a single Task which can be awaited.

Task<IEnumerable<string>> DownLoadAllUrls(string[] urls)
{
    return Task.WhenAll(from url in urls select DownloadHtmlAsync(url));
}

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