The images are in folders in the phone storage. You just have to look for it. The gallery actually does not store images, videos, pics. It just collects them from the phone storage and display them in one place.
Just use My File or any file manager. Look for the relevant folders. If you download HD wall papers using an app for example, a lot of times it would appear in a folder called HDWallpaper or something like that. Sometimes it can be found in camera, downloads, or attachments, the individual app folder like watsapp.... etc
You just have to look for it and rearrange it to folders the way you want to. Its really like the PC windows explorer in that sense.
Cheers