Hi, Stella, yes, it is possible, although you can only copy one at a time.

First open up your media library and left click your chosen image, you will know it's activated by the check mark. Now go across to the far right and you should see the image with "Edit Image" and "Delete Image" underneath.

Click on "Edit Image" and a new window will appear with the chosen image. Don't do anything to the image, just right click and in the drop down menu click "Save Image As". You can now save the image wherever you wish.

If you only want to copy a couple of images I prefer to save them on the desktop. For larger numbers I would create a new folder named something like "Media Library Copies"

Hope this helps. Best wishes.

You could install FTP and download them.
Doing a menubar search reveals several posts on how to use FTP. "how to use ftp".
Select the wp-content folder once you’ve logged in. then "uploads" folder.

Or Install the WP File Manager Plugin. Look for the public_html directory..Then the the wp-content folder once you’ve logged in. then "uploads" folder.

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You can open the URL, right click and save to your computer. Then upload it wherever you want.

I hope this helps.