That depends on the platform you are using:
Windows:
By default, Windows stores your wallpaper pictures in C:\Windows\Web\Wallpaper. In some cases, your wallpaper pictures may be in a folder related to the program you used to set or get the wallpaper, like "Adobe Wallpapers" or "Windows Wallpapers".
macOS:
On macOS your wallpaper images are generally stored in ~/Library/Application Support/Dock/desktoppicture.db. This is in a database format so you won't be able to view the images directly, but you can identify the images in the database with a SQLite viewer application.
Android:
Android stores wallpapers in <internal storage>/DCIM/.thumbnails. You can find the images by opening up the Gallery application and choosing "Show on disk".
iOS:
On iOS, wallpaper images are generally stored in /private/var/mobile/Library/SpringBoard/HomeBackground. Remember that this folder is only accessible if you've jailbroken your device.
If the wallpaper you are looking for was sourced from an online service, like Google Photos or Dropbox, then you can check those services for the wallpaper image as well.
I hope this helps you find your wallpaper!
