Here is my problem, I downloaded the Ubuntu 14.04 wallpaper for my Pi and I couldn't change my wallpaper so I deleted the wallpaper and now it change...
I tried this but it didn't work:
Do not use sudo with the above command and it will work.
Just right click anywhere on the screen and select [Desktop Preferences] then select [Wallpaper]
A file manager will appear where you can select the path and filemame of your background image.
The default raspberry pi logo file is deskop-background located in /etc/alternatives
Be sure in [wallpaper mode: fill with background color] is NOT
If you don't have [Desktop Preferences] in the right click menu then do:
click the advanced tab and un select the only option there.
Unless specified otherwise my response is based on the latest and fully updated Raspbian Buster w/ Desktop OS.