Webscraping Bing wallpapers
Since you only use one function from both re and os, you could just import the specific function from each rather than the whole module.

from os import chdir
from re import sub


You shouldn't use a bare try except. You might be ignoring all sorts of errors without noticing. Instead, use the exception that you're expecting is likely to happen. According to this Stack Overflow answer urlretrieve will likely raise a URLError (which you also need to get with import URLError from urllib2). This way if you're having other problems you'll actually know about it.

try:
    urllib.request.urlretrieve(pic_url, pic_url.split('/')[-1])
except URLError:
    print("Image not found.")


Also it seems silly to have that message print out without indicating which images weren't found. You may be incorrectly parsing a lot of images without realising it. Just adding (pic_url.split('/')[-1] + " Image not found") would make it a much more useful error message. But it would be even more helpful if you logged the full path (pic_url).