You have a picture and a shape. These are in what I would call different layers. I don't know that this is the correct term. Note that these are formatted using different Ribbon tabs even though many of the controls look the same on the two tabs.

If you create a textbox (a shape) and paste your picture inside the textbox the two shapes can then be grouped. Be careful to size your textbox large enough to hold your picture because it will shrink to fit. Your textbox can be formatted to have no borders.