By default, WhatsApp will automatically download images over your cellular connection to provide you with quick access to your latest photos.
To configure automatic photo, video, or audio downloading, simply go to 
Settings > 
Media settings > Media auto-download.
Here you can choose when WhatsApp will automatically download media.
Selected media will automatically download when you are connected to your mobile data connection.
Selected media will automatically download when you are connected to a Wi-Fi hotspot (e.g. your home internet).
Selected media will automatically download when you are roaming.
Note: enabling roaming auto-download may result in significantly increased charges from your mobile provider as roaming data is often expensive.
Automatically downloaded images will show up in your phone's media folder.
Learn how to configure Auto-download on: Android | iPhone | Windows Phone | Nokia S40 | Nokia S60 | BlackBerry 10
Cheers,
WhatsApp Support Team