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 WhatsApp > Application Menu (Swipe down from the top of the screen to see it) > 
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 cellular data.
Selected media will automatically download when you are connected to Wi-Fi.
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 and videos will show up in your phone’s media gallery.
Learn how to configure auto-download on: Android | iPhone | Windows Phone | Nokia S40 | BlackBerry | Nokia S60
Cheers,
WhatsApp Support Team