Mac allows you to personalize your login screen by adding an image of your choice. There three types of images you can add: memoji, emoji, and photo. If you want to add your photo, you can take the photo directly using Mac’s webcam or select from an existing photo. However, if you want to select an existing photo, Mac doesn’t allow you to select the file from Finder. Instead, you need to prepare the photo on an album on the Photos app.
So first, open the Photos app. If you haven’t added it to the Dock yet, you can find it via Launchpad. Once the Photos app opens, create a new album by clicking the plus icon on the My Albums label on the left panel and select Album.

Give your new album a name and hit the return key on the keyboard.

To add a new photo to your album, you need to import the photo first. To do so, click the File menu on the menu bar and select Import.

Select the photo you want to import (you can select multiple photos at once) and click the Import button on the dialog window.

You can find the newly imported photo by clicking the Imports label on the left panel on the Photos app. To add it to your album, you can simply drag it to your preferred album.

Once your photo is ready, open System Preference and click the Users & Group menu.

Click your profile photo to change it.

On the appearing dialog, click the Photos label on the left panel and go to the album you have just created and select a photo you want to use. End by clicking the Save button to save the change.

Now try to lock your screen and you should see your photo on the login screen.