Right click on the game “DEATH STRANDING” in your Steam library and select “manage->Browse local files” from the context menu. Windows explorer will open showing the game files. There you can find the folder “wallpapers” that contains all the wallpapers.
In the Epic Store library you’ll find a tile called “DEATH STRANDING Content”. Just click the “Launch” button and a Windows explorer window will open showing the DLC content (artbook, soundtrack and wallpapers folders).