The PSP (1000/2000/3000/Go/Street) does not support custom wallpapers/backgrounds natively on the XMB (Cross Media Bar) like a smartphone. The “Background” setting only cycles default waves/colors or applies Themes (.ptf / .ctf).
.ptf files to PSP/THEME/ on Memory Stick (Create folder if missing).PSP/THEME/. Enable plugin in Recovery Menu / VSH Menu.PSP/GAME/.Recommendation: Stick to Official .ptf Themes. Thousands exist, zero risk, instant apply, look great.