Hello byibzhin,
From your post it appears that you are seeing a low resolution version of your photos for your desktop picture.
Are you using iCloud Photos? Are your photos stored in iCloud or are they stored locally?
When using iCloud Photos, if Optimize Storage is enabled, a low resolution copy remains on the computer while the original high resolution version is stored in iCloud. More information about how this works is available here: Set up and use iCloud Photos - Apple Support
Before choosing the photo you want as the desktop, be sure the high resolution version is downloaded to the Mac.
Cheers.