You can visit SharePoint my site to download image. Photos/

You can also download all users profile image through powershell.

First you have to connect your powershell to exchange online and in order to connect exchange online you can visit my other post Error: The term ‘Get-Mailbox’ is not recognized as the name of a cmdlet, function, script file, or operable program

run this command in powershell after conneting exchange online

#Input Parameters:

#Download all user profile pictures from Office 365:
New-Item -ItemType directory -Path $folderpath –force
$allUsers=Get-Mailbox -RecipientTypeDetails UserMailbox -ResultSize Unlimited|select UserPrincipalName,Alias
Foreach($user in $allUsers)
$photo=Get-Userphoto -identity $user.UserPrincipalName -ErrorAction SilentlyContinue
If($photo.PictureData -ne $null)
Write-Host $user.Alias “profile picture downloaded”