You can use Import.io to download images and files from websites automatically. For example, to download a set of images, you would just select the images through while training and then for that column settings, enable Download images.
Similarly for links to files, you can select a link and then through column settings, enable Download content behind this link. In order to reveal that option, you first will need Capture this link's URL enabled.
When you run the extractor, you will now see an option to download Images and Files alongside then normal data download options. The downloaded images/files will be made available in a zip file with their filename related back to the row of data they were extracted from.