Images can be displayed in playlist players, and you can have a different image for each track in the playlist. This page explains how to add them and set their size and position in the players.
If you upload your audio to your Media Library then the easiest way to add images for each file is to use the ‘Set Featured Image’ option that WordPress has. Go to your Media Library and click on an audio file, then click the ‘Edit more details’ link. Here you can set the featured image that will be used in the playlist by uploading one or choosing one already in your library.
If you want to manually add images to a playlist (or if you don’t use the Media Library) then use the
images parameter in your shortcode. Write a comma separated list of image urls.
[playlist tracks="...your tracks..." images="...your image urls..."]
Size and alignment
Use the player ‘Design’ page to set the appearance of images in the players, you can set them to be any size from your media settings (thumb, medium, large), or to auto-fill the width/height of the player, or to be their original size. You can also set the alignment (left, centre, right), tweak the title positioning to something suitable (or hide it), and more.
To modify players individually use the Shortcode Parameters.