C:\Users\user_name\appdata\Local\Packages\Microsoft.ContentDeliveryManager_xxxxxxxx\LocalState\Assets\
Windows 10 Final Version:
C:\Users\user_name\appdata\Local\Packages\Microsoft.Windows.ContentDeliveryManager_xxxxxxxx\LocalState\Assets\
You can directly access the folder using %localappdata% environment variable:
Windows 10 Preview Builds:
%localappdata%\Packages\Microsoft.ContentDeliveryManager_xxxxxxxx\LocalState\Assets\
Windows 10 Final Version:
%localappdata%\Packages\Microsoft.Windows.ContentDeliveryManager_xxxxxxxx\LocalState\Assets\
Here xxxxxxxx will be random letters and numbers in folder name.
In this folder, you'll find several files without any extensions. Actually all these are .JPG files which are used to show backgrounds on Lock Screen.
Rename them with .JPG extension and you'll have the hidden background images.
Via.
