Nestle731, this would definitely have me just as concerned. Let's help review what's going on with your iPhone. Which model are you using? Are you connected to WiFi when attempting to download the picture messages through SMS or iMessage? Any difference if you disable WiFi?
Just in case, try holding both Power & the Home keys simultaneously for about 15 seconds until your phone resets. Please test the messages to see if they start downloading. Keep us posted!
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