In most cases they are retrieved from the Internet from the sender’s profile or domain. In that case you might see a company logo or some other type of image. If an image is not available from the Internet, we use a monogram, so the initials of the sender’s name. But we can also show the avatar for the contact you have in eM Client, if you have one set up for that sender.
If you want a global Avatar profile icon connected to your email address which also works in eM Client and alot of other sites now you can setup one at Gravatar. Its widely used.