You can easily create a jigsaw puzzle using the Custom Jigsaw tool.
In-game, navigate to the top of your screen and select Objects > Components > Custom > Custom Jigsaw.
How you choose to import files impacts if other players can see them when you're finished.
For help with importing, visit Asset Hosting.
You can select how many pieces the jigsaw puzzle will have (20-320) as well as if the image will appear on the board too, as a guide.