Go to your mpv configuration file (it's .config/mpv/mpv.conf under your home directory on Linux and Mac, and %appdata%\mpv\mpv.conf on Windows) and add the following lines:
screenshot-format=png
screenshot-high-bit-depth=no
The latter keeps the PNGs in 24-bit true color instead of higher depths that may result from 10-/12-bit videos, which is not what you might want.
You can also change the directory where screenshots are saved and how they are called. For example,
screenshot-template=%F-shot%n
will name them by their filename and a number.
Here's the link to the documentation:
https://mpv.io/manual/master/#screenshothttps://mpv.io/manual/master/#files 
