Draw your own puzzle pieces and duplicate to create
Activate your grid by hitting Cmd/Ctrl+’, and select the Pen tool (P). Create a new layer and using the bigger squares, draw along with the Pen to create the shape of one side of a jigsaw puzzle piece.
Select the Brush tool. Choose a Radius of anywhere between 5 and 20 pixels, depending on how thick you want your puzzle pieces, and then click the Paths tab. Ctrl/right-click your path and hit Stroke Path.
Duplicate your layer and hit Cmd/Ctrl+T to transform your jigsaw side. Rotate it 90 degrees, and place it perpendicular to the end of the original side; do this again until you have a complete jigsaw piece.
Carry on duplicating your jigsaw piece edges – many at a time if it’s easier – to build up the shape of your puzzle. Remember to turn your pieces both inwards and outwards to vary up the style. Continue to use the grid as a guide to snap your puzzle to.
Once you have a jigsaw puzzle over the image, select all the puzzle outline layers, Ctrl/right-click and hit Merge Layers. Duplicate your original picture, move it to the top of the stack, press Ctrl/Cmd and the outlines’ layer preview, before hitting Mask.
Go to the duplicate layer of your original picture and Ctrl/right-click the layer to go to Blending Options. Head to the Bevel & Emboss section of Layer Style and choose Depth: 105%, Size: 10px and Soften: 10px to complete.