MacBook Pro lockscreen background

I feel like I'm losing my mind. I cannot get the lock screen background on my new macbook pro to change AT ALL. The one it comes with is ugly and I hate it - it seems stupid and minor, but I paid a lot for this laptop and want to be able to customize it. I have a different macbook for work and I was able to change the lock screen background on that one, but it will not do it on my new one. I changed the regular wallpaper, but it doesn't sync up with the lock screen like I thought it was supposed to. Not a single article I've googled has had any answers for me. How the **** do I fix this?

[Re-Titled by Moderator]