I think I finally found some decent solution. I used tool called HydraPaper. It's application made for Gnome so it doesn't look like Mate native app. I installed it with flatpak which was bigger installation than it should be (some Gnome components had to be installed) however it works. It allows to set different wallpaper for each monitor and select if it will be zoomed,cropped etc.
It's little bit funky if you start to plugin in and out one of the monitors but it's messing up wallpapers just for a moment and the it seems to automatically figure out what wallpaper should be shown. It's not a big deal for me on desktop PC but it may be thing of concern for people on laptops.