Yes.
Do you store all Cover Art inside the audio files?
So not beside the audio files, or in the "\Cover Art\Albums" directory, as defined in the "Options > File Location > Cover Art > Folder" setting?
So your "\Cover Art\Albums" directory is empty?
If so, use the method below.
Set your Cover Art settings in Options to the same as those in the attached image.
Note the "Cover Art > Folder" setting.
Open the Smartlist.
Select all files.
Right-click on any file and select "Cover Art > Save Cover Art To External Location Specified In Options"
In Windows Explorer navigate to the Cover Art location, and then into the albums directory.
All the Cover Art from the Albums in the Smartlist will now be in there.
If you have files already in the "\Cover Art\Albums" directory you could still use this method, but you would have to sort by the files by the Date Modified to find all the image files just created, which would be the ones you are looking for.
You might want to change your Cover Art settings back to what they were before after doing this. Or decide if you want to leave the settings that way. The Cover Art Wiki explains it all.