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How to change the Wallpaper OnePlus 3
Other options include:
1) Go to Display by going Settings>Display and set a Wallpaper for your Homescreen
2) Go to Lockscreen Wallpaper and choose "Use Homescreen Wallpaper"
3) Lock your phone and unlock it, it won't work if you have this issue, and go back to the "Lockscreen wallpaper" menu and choose "OnePlus Wallpapers" and pick the last one on the right, it may just be me but I found this works, and set it to your Lockscreen.
4) Lock and unlock your phone, you will see the OnePlus lockscreen you picked.
5) Go to settings and find the "Use homescreen wallpaper" and tap it to set it.
I've found that this method is the only way I can set the Lockscreen and Homescreen Wallpaper to the same image.