Some possible things:
Is the image successfully loaded into Photos and visible until you delete in from the "Downloads" folder?
In Photos>Preferences>General, is "Copy Item to the Photos Library" checked? (This is the default, indicating a "Managed Library") If this isn't checked, then you have what's called a "Referenced Library" in which Photos has to remember which folder the picture came from. If the picture leaves that folder, then Photos won't find it. Almost everyone uses a "Managed Library" with the "Copy Item" box checked.
If that's not it, then how do you "move an image?" Dragging and dropping isn't really supported (though it sometimes works), so you should be using File>Import. Where is it missing from? Does the image not appear in the Imports view? It should be the last one. Have you tried searching for the image using the file name?
Have you tried
- Restart the computer (of course)
- Rebuild your Photos Library by closing Photos and re-launching by option-command-clicking the app icon.
- Make a new user and see if the same problem recurs with it
- Use another library if you have one, or make a small test Library with a few pictures in it and see if the same thing happens.
- Start in Safe Mode (different for different computers) This bypasses certain potentially disruptive processes.
Start up your Mac in safe mode - Apple Support
One of these steps may fix the problem, but their failure to work is also diagnostic.
