See http://www.gmayor.com/photo_gallery_template.html which will insert pictures in two columns, with numbered captions, though on a typical portrait oriented page there will be six to a page unless you increase the top or bottom margin. However I would suggest inserting in smaller batches than 500 or more.

Photograph No is not one of the default captions included, but you can type it in the Configuration.

Note that this will produce huge documents, which may be an issue depending on what you intend to do with the document. You can choose to insert as links but that will require user access to the original files.

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Graham Mayor - MS MVP (Word) (2002-2019)
Visit my web site for more programming tips and ready made processes www.gmayor.com