The PSP only displays wallpapers in specific formats, resolutions, and locations. If your image works on PC but not on the handheld, one of these requirements isn't met:
wallpaper01.jpg.PSP/PHOTO/ — for Photo app viewing.PSP/THEME/ — for .ptf themes (contains wallpaper).PICTURE, DCIM, or subfolders of PHOTO.chkdsk X: /f (X = drive letter) on PC.Use PSP Theme Converter (PC) or CTF Tool to pack wallpaper + icons + sounds → install to PSP/THEME/. Survives reboot better than Photo-app wallpaper.
Test Image: Download a known-good 480×272 JPEG from PSPThemes.org → transfer → set. If it works, your images are the problem.