Family Historian User Group

When I imported the GEDCOM files from my online accounts, it imported the URL for the images from each images/media attached to that individuals record.
Do I need to download each image individually or is there a quick way to get all the images downloaded the the local project folder?

Welcome to the FHUG.

If you download GEDCOM directly from Ancestry or MyHeritage then (as with most online family trees) the Media are not downloaded as linked images, but you only get URL, and each Media image must be downloaded by hand.

HOWEVER, in both cases, there is a workaround...

Ancestry GEDCOM trees can be downloaded via FTM 2019 or RootsMagic and then the Media are included.

Likewise, MyHeritage can sync with its Family Tree Builder application for Windows and GEDCOM from that included linked Media image.

For details see the FHUG Knowledge Base Importing to Family Historian and its specific advice for Ancestry and MyHeritage.
Also see Handling Uncategorised Data Fields and Compendium of Conversion Plugins.