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Download photos and videos from iCloud in Messages on Mac
When you use Messages in iCloud, all your messages—including photos and videos you send and receive—are stored in iCloud.
If the photos and videos for a conversation haven’t downloaded from iCloud to your Mac, you can download them manually.
In the Messages app
on your Mac, select a conversation, then click the Info button 
in the top-right corner.Click Download at the bottom of Info view.
If you don’t see Download, all of your photos and videos are downloaded (or currently downloading) to your Mac.
After your photos and videos are downloaded, drag individual items to another document or the desktop. See Import photos from Mail, Safari, and other apps into Photos.