To select your photos as a Desktop wallpaper, go to System Settings > Wallpaper and choose Add Photo from the Your Photos section.

Use the Choose Folder option at the top of the PhotoSets section.

If you want the Desktop wallpaper to rotate through a selection of images, select the option to the right of the one that I highlighted above.
More info: Wallpaper settings on Mac – Apple Support
An alternative method is in Finder, navigate to the image you want as a wallpaper. Secondary-click (control-click, two-finger click) on the image, then in the contextual menu select Set Desktop Picture. Note that depending on your Keyboard Shortcuts settings, the Set Desktop Picture option may be in the Services submenu.
