As per this article : Mail for Mac: Account Information preferences in Mail
1.
Use Account Information preferences in Mail to set or view general options for your email account.
To view these preferences, choose Mail > Preferences, click Accounts, then click Account Information.
2. Download Attachments
All: Mail always downloads these attachments.
Recent: Mail downloads only attachments of this type received within the past 15 months.
None: Mail doesn’t download any of these attachments.
Mail downloads attachments you receive to a special folder in your home Library folder.