Greetings tinyguy238,
We understand that you are having some difficulty changing the background image on your Mac, and we'd like to help.
It sounds like you're familiar with how to change the desktop picture, per the guidance found here: Customize the desktop picture on your Mac. But, when you go to change to a different picture, nothing happens no matter which picture you select.
Let's have you boot up into safe mode to see if you can change the desktop picture there successfully. Safe mode is a way to start up your Mac so it performs certain checks, repairs, emptying of system cache, and prevents some software from automatically loading. This will let us know whether the issue you’re experiencing is caused by software that loads as your Mac starts up. Here are the steps: How to use safe mode on your Mac
Sometimes safe mode can successfully resolve some issues. With this being said, after testing in safe mode, restart and log in as normal to see if that helps resolve the issue.
Keep us posted on the results.
Take care.