All profile images upload to Image library and you can easily find them by using the Search tab. On this tab, in the Image owner field, you can search by the image owner's first name or last name. In the Type of image field, you can also search by "Profile."
You can also easily find profile images by selecting to upload them to the same folder in Image library. To do this, select a folder in the Default profile image folder field on the user image option site setting in Sites & settings. For more information, see User image options settings.