It's been a long time since I've heard about the My Files app. What device do you have and what version of Android are you on?
It's my understanding that you have to give Google Assistant express permission to save items to your device or items downloaded go to a folder that you cannot access. So if you are using the Google search box, not Chrome or another browser you're logged into, to find and then download images it's not going to be anywhere viewable unless you've given this permission to Google Assistant.
To give permission or check if Google Assistant has permission to save items to your device go to; Settings>Applications & permissions, locate the app page (you may have to enable "show system apps") and in the permissions make sure Storage is one of the permissions granted.
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