There are quite some bluetooth topics on the forum already, maybe you’re problem is already discussed. Bluetooth problems are hard to diagnose, so please be as specific as possible.
Which gallery app are you using? There doesn’t seem to be a default one. Also, the security model in android blocks apps accessing data from other apps, which can lead to errors like the one discussed here (or no error and no delete).
Make sure the jack is plugged all the way in, as otherwise the phone will sometimes not detect the headphones and continue playing audio via the speakers.