Setting your featured image is very similar to adding an image into your Page or Post. After clicking the ‘Set featured image’ link, you will get the media library pop-up window where you add an image to your Page/Post.
You can upload a new image to use as your Featured Image or you can simply choose from one of your previously uploaded images.
By default, you’ll be shown a list of the previously uploaded images. If you’d like to upload a new image, click on the Upload Files option at the top of the pop-up window. After clicking the image you’d like to use as your featured image you can then update the Title, Caption, Alt Text and Description for that image.