If you transfer music content from the computer to your Walkman by dragging and dropping, the cover art of the content may not be shown.
Try using Media Go to transfer the content. Music player may then be able to show the cover art.
NOTE: A list of devices supported for use with the Media Go software is available at: http://mediago.sony.com/enu/supported-devices/.
The Media Go software may also work with other devices not on this list. However, we cannot guarantee operation if they are not on the list.