Album covers from songs bought in iTunes won't show album cover on iPhone
I had this problem and through asking google I figured out a solution.
Your best bet (it worked for me) is to go to your iTunes, sync your iPhone and then go to music. Once you are at the music tab, you want to uncheck the "Sync Music" at the top (this will get rid of all of the music without album covers, it will be okay I promise). Then you want to sync your phone so it gets rid of the music. Then once that is completed, you want to recheck the "Sync Music" and sync your phone so it reverts what you just did. It will take a few minutes for the music to get back on your phone so be patient! Afterwards, everything should be peachy keen :)

Hope I could help.