The other way to do this (at least on Ubuntu 20.04.3 which I'm running) is to right-click on the desktop, choose 'Display setttings' and then select 'Background'. If the picture you want isn't shown, at the top click on 'Add picture' and you can then navigate to the wallpaper you want to use in your system.

There's not much to choose one method over the other; if you choose the method I've given here, the minor advantage is that you can store a few wallpaper options in there and easily change from one to the other any time without having to navigate to the original file as the system stores the option for you to select and unselect at will.