If you want to add a custom desktop background, you cannot just add an image directly. Choosing a picture would add the folder it's contained in to the sidebar in System Preferences » Desktop & Scren Saver.
For example here, I've added an image from the Desktop as a wallpaper. You can see the Desktop folder to the left.
If you later changed your wallpaper (e.g. to some default), and did not delete the folder from the sidebar (by clicking -), then all you have to do to retrieve your old desktop background is to go to the folder it was contained in, and search for it.
If you however deleted the folder from the Desktop & Screen Saver pane, finding out the previous location of your background image is not possible unless you went through every folder, or looked at every image on your Mac.
And, of course, if you deleted the actual file that was used as a background, you cannot restore it unless you had a Time Machine backup (you do have one, right?), or didn't clear it from the Trash yet.