[jaywalk]

In iOS Messages, if you tap on the icon at the top of the chat, one of the things that gets displayed is a list of all the photos, links and locations from that chat. So as long as you remember who sent you the photo, it should be pretty easy to find.

[janalsncm]

Except a lot of the pictures aren’t there in my experience. It’s a nice feature in theory, though.

[mttjj]

Scroll to the bottom of that slide-up. There may be something that says "X images in iCloud". You can tap "Download" to download them all.

Also: Settings > Messages > Keep Messages > Forever

[connordoner]

And, on that note, Settings > [Your name] > iCloud > Messages, too.

[joe5150]

I don't now how iOS caches or retrieves that content, but I find it's not super reliable if the messages were more than a few days/weeks ago. When it works it's great, though.