Google’s John Mueller said again that there is no specific SEO benefit for hosting your images on your own domain name. You can host them on your domain name or host them on another domain name, it shouldn’t impact how well that image ranks.
But John does say you may want to host it on your domain name so you have more control if you switch CDNs in the future.
Here is John’s tweet:

It doesn’t matter how you host the images, there’s no SEO-bonus for having them on the same host/domain. However, since changing image URLs is “hard”, I’d use your own hostname for the CDN (avoid https://t.co/Y1ND46l9ij and use https://t.co/fWMc6CFPZ0), so you can change CDNs.
— 🍌 John 🍌 (@JohnMu) March 5, 2019
Rand Fishkin posted on Twitter shortly after that he heard otherwise:

Is this true now? If so, must have changed recently b/c I saw a lot of image SEO traffic bumps moving images from CDN/subdomain to main domain in the last few years… https://t.co/muaEaJ4apv
— Rand Fishkin (@randfish) March 5, 2019
Glenn Gabe said no, it works fine either way:

I have a number of clients using CDNs for images that rank extremely well in image search. That’s across industries.
— Glenn Gabe (@glenngabe) March 5, 2019
We here host images on S3 and use the amazon URL, not our own domain name. When we first started using S3, they didn’t have using your own domain as an option. I should probably switch it so that if I ever do move to another CDN that I can easily manage that switch but for now, I believe our images rank well.
As long as the landing page URL is your domain name, you should be fine.
Forum discussion at Twitter.

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