Yes, there are typically three ways a player sees cover art:
As folder.jpg or cover.jpg within the same folder as the tracks (advantage one per album);
When the cover is actually embedded in each track file, as DSF or FLAC files are typically done (advantage, portable-always with file)
Retrieved from the web, based on a google image search or 3rd party database (freedb, MusicBrainz, discogs, etc). This option then stores the cover and pointer in its covers database
What to do when the artwork is not showing up
If the album artwork does not show up, it is probably due to the fact that your control point isn’t picking up web-based cover art (like your computer is), or reading the file correctly to find the cover artwork.
You can add cover art manually with the applications listed below, or some control points simply need a folder.jpg or cover.jpg to be present in the same folder as the tracks.
JRiver (a Windows and Mac music player (also more information about artwork within jriver can be found here)
Audirvana Plus on the Mac
Are all the files available from NativeDSD.com tagged with artwork?
NativeDSD started tagging all files with album art as well beside the normal text-tags in the summer of 2014. It is possible that the early releases on this platform have not been tagged with artwork. If this is an issue (eg if you use a portable player) please let us know so we can correct it for you.