Make Sure You’re Connected
Before you get started looking into all of the other possible fixes for this issue, you need to make sure that you have everything set up correctly on your phone and with the Zune client on your Windows PC.
While your Zune client should manage the download and display of album art, delays in this can occur with a large library (see below). As a result you will need to make sure that your Windows Phone is connected to the Internet or a local Wi-Fi network. Head to Settings > System > Mobile network and switch Data connection and 3G connection to On, or if you’re in range of a Wi-Fi network use Settings > System > Wi-Fi.
With this done, you will need to instruct your phone to connect with Zune and download information, such as artist backgrounds – do this via Settings > Applications > Music & videos.
You should also take a look at the settings on your Zune client, the desktop software that is used for managing synchronization between your phone and PC. Open Settings > Software > Metadata and Ratings to find the Media Info section; you should have the Automatically retrieve and update… option checked, with Replace all media information also selected.
With these settings activated, you should notice a change.