Many of the lock screen pics are save in the C:\Windows\Web folder, but themes may be stored elsewhere such as in the C:\Users\Username\AppData\Local\Microsoft\Windows\Themes\ folder but you must make sure you've selected ‘Show hidden files & folder’ option from the Explorer Folder Options. Or if you've enabled "Windows Spotlight", the folders may be located elsewhere in the This PC\C:\Users\[YOUR USERNAME]\AppData\Local\Packages\Microsoft.Windows.ContentDeliveryManager_cw5n1h2txyewy\LocalState\Assets folder. To view and access those particular pictures, follow the instructions in the link below:
http://www.laptopmag.com/articles/find-windows-10-lock-screen-pictures
Hope this helps.
Grif
I have searched the internet regarding this question. I added a few of my own pictures to use at the lock screen and now want to delete the ones I added but cannot find where they were put.
I found the web file and the default lock screen pictures but not the ones I added. I went to the file where I selected them and deleted them there but they still show up at the personalization page in settings.
Can someone please tell me where they might be and how to delete them?

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