Featured Image vs Thumbnail

So Im new to this WordPress thing. Just launched my site two months ago. I’ve got some postings and products up live now. But for some reason, whenever I share my posts or product on other networks such as Facebook, it doesn’t show the thumbnail or featured image. In my experience, people are much more likely to click through to my link if there is a thumbnail image. Sometimes it shows no problem, and other times it doesn’t. I always set a featured image to my posts or products. Someone please tell me why this happens? How can I make sure this featured image shows up we sharing the link in my networks??? HELP!