In this example we have two media items already uploaded;

An small image that represents our document.
The .pdf document we actually want to link to.

1. On the editing screen place your cursor where you’d like the image/link to be inserted
2. Above the editing screen click on Add Media
3. When the Media Library Opens click on the media item you want to link to (in this example a .pdf)
4. Copy the contents of the URL field, it will look like this https://yourwebsite/wp-content/filename
5. Next click on the actual image you want to use as your link
6. In the ‘Link To’ drop down box choose Custom URL
7. Paste in the URL into the box below it we copied in step 4
8. Click Insert into post