I couldn’t change the wallpaper on my Xiaomi Mi Max 3 mobile running Android 8.1 Oreo.
This did not work:
(1) Long-press the desktop (2) Select Wallpapers (3) Choose an image (4) Press Set wallpaper (5) Specify whether the selecting wallpaper appears on the Lock Screen, Home page, or both.
This might have been due to the Xiaomi MIUI 10 (Mi User Inteface), my Nova launcher app, or something else.
This worked: