BibTex and LaTex: From MathSciNet

Conduct your search in the usual way.

On the search results page, mark the references you wish to download.

On top of the page in the "Batch Download" drop-down menu, select "Citations (BibTex)"

Click "Retrieve Marked". You will see BibTex entries of the marked references on the next page.

Copy and paste the entries to your BibTex database