Sometime recently, the same desktop background I'd been using for several months stopped working. On Budgie startup, I would just get a solid black background, even though the Control Center Background tab shows the image in the preview.
I thought maybe the file got corrupted, so I found it again and downloaded anew, but the same issue persisted despite other images working fine. I then tried to open the file in Image Viewer (EoG) and it also wouldn't render. But it did give me the helpful error: "Could not load image ... Error interpreting JPEG image file (Backing store not supported)".
This led me to an issue reported with gdk-pixbuf and EoG. It also seems to be affecting Budgie.
https://gitlab.gnome.org/GNOME/gdk-pixbuf/-/issues/216
It seems it was introduced here as a security patch and affects large JPEG files.
https://gitlab.gnome.org/GNOME/gdk-pixbuf/-/commit/b659038e4296534c2e068de9bce8d9e17fbe58b4
To reproduce, you can try downloading this rather large image and try opening it in the Image Viewer app, or setting your background with it.