Go to : C:\Windows\Web
AND to:
%localappdata%\Packages\Microsoft.Windows.ContentDeliveryManager_xxxxxxxx\LocalState\Assets\
where the “xxxxxxxx” is some string of letters and numbers.
These are the Windows 10 lock-screens / login-backgrounds. Copy all images you find in these two folders to a new folder, and rename their extension (if necessary) to .jpeg.
That's it.