• Right click on an empty bit of the Desktop and select Change Desktop Background.

OR

• Open the System menu (power icon in top right), clicking the Settings icon, (looks like crossed spanner and screwdriver) then in the window that opens click Background.
  

OR

• If you have an image in your home directory that you wish to use, navigate to it in Nautilus, drag it on to the Desktop using the middle mouse button. A menu will open and one of the options will be 'Set as Background'