Apple - How to delete files in /System/Library/Desktop Pictures on Catalina?

As a general rule I do not recommend deleting system files, however, if you really want to remove the default wallpapers you can do the following:

  1. Boot to macOS Recovery by pressing ⌘R when booting the Mac.
  2. Using Terminal, from the Utilities menu, use the following commands:

    cd /Volumes/Macintosh\ HD/System/Library/Desktop\ Pictures
    rm *.heic

Catalina now installs /System as part of a read-only volume, so it cannot be altered whilst in use.

You can modify or delete those files when booted to Recovery, but bear in mind that Apple may well restore them in an update to the OS.