This is an overview.
- First create a local plugin. For example 
/local/yourplugin 
https://docs.moodle.org/dev/Local_plugins
- Then set up a message provider
 
https://docs.moodle.org/dev/Message_API
defined('MOODLE_INTERNAL') || die();
in local/yourplugin/db/messages.php
$messageproviders = array (
    'coursecompleted' => array (
    ),
- Then add an event observer - you will want to respond to the course_completed event
 
https://docs.moodle.org/dev/Event_2
in /local/yourpluginname/db/events.php
have something like
$observers = array(
    array(
        'eventname'   => '\core\event\course_completed',
        'callback'  => 'local_yourplugin_observer::course_completed',
    ),
);
- Now add the message code
 
Add something like this to '/local/message/classes/observer.php'
defined('MOODLE_INTERNAL') || die();
class local_yourplugin_observer {
    /**
     * Triggered when 'course_completed' event is triggered.
     *
     * @param \core\event\course_completed $event
     * @return bool
     */
    public static function course_completed(\core\event\course_completed $event) {
        // Your code here.
        $message = new \core\message\message();
        $message->component = 'local_yourplugin'; // Name of your local plugin.
        $message->name = 'coursecompleted'; // Name of message provider.
        $message->userfrom = $USER;
        $message->userto = $user;
        $message->subject = 'message subject 1';
        $message->fullmessage = 'message body';
        $message->fullmessageformat = FORMAT_MARKDOWN;
        $message->fullmessagehtml = '<p>message body</p>';
        $message->smallmessage = 'small message';
        $message->notification = '0';
        $message->contexturl = 'http://GalaxyFarFarAway.com';
        $message->contexturlname = 'Context name';
        $message->replyto = "random@example.com";
        $content = array('*' => array('header' => ' test ', 'footer' => ' test ')); // Extra content for specific processor
        $message->set_additional_content('email', $content);
        // Create a file instance.
        $usercontext = context_user::instance($user->id);
        $file = new stdClass;
        $file->contextid = $usercontext->id;
        $file->component = 'user';
        $file->filearea  = 'private';
        $file->itemid    = 0;
        $file->filepath  = '/';
        $file->filename  = '1.txt';
        $file->source    = 'test';
        $fs = get_file_storage();
        $file = $fs->create_file_from_string($file, 'file1 content');
        $message->attachment = $file;
        $messageid = message_send($message);
    }
}