If you're using an iOS device, I recommend you download and install Screeny. It is an application developed by Noef Fing Name, specially designed to delete screenshots.
If you're an Android user, open the File Explorer utility, and click the SD Card option. After that, look for the Screenshots folder, open it, tap and hold your finger over a screenshot you want to remove and press Delete. If you can't see the Screenshots folder in the SD Card directory, you should find it in Pictures.
If you have a Windows Phone device, navigate to Photos > Screenshots and delete the files using the instructions provided by Microsoft.
If you have a feature phone, I recommend you check its manual or contact the manufacturer.