How did you acquire the photo to begin with? Have you tried going back to that source?
If you used a service like the Galaxy Store, HTC Themes or anything like those and now cannot find the image it may have been intentionally pulled for any number of reasons.
Not knowing what device you have I'm unable to give you anything more specific than to go to Settings and use the search bar to look for "wallpaper". On many devices this will open an app or a service that is connected to your device and which may also have or store past selections.