I'd previously downloaded IFFTT on a different phone. On IFFTT I had it set up for Nasa's wallpaper of the day, so it would change my wallpaper each day. It hadn't worked on my old phone, but when I reinstalled IFFTT on the N8 it suddenly started working.
The images aren't stored on your phone that you can see. IFFTT just takes them directly from the website and applys them as your wallpaper.
Once that was disabled it stopped happened. Just check any wallpaper apps etc that could be responsible, if it's not IFFTT.
My wallpaper was changing at random from the start. I would change to my preferred wallpaper, and a few minutes later after waking up the phone again, the wallpaper changed to a different image.
The solution (for me) appears to be:
1. Use System Search (down gesture from notification area at top of screen and touch search icon next to settings (gear) icon).
2. Search for "Wallpapers and Themes" and touch link that shows in search results.
3. It should open to the Galaxy Themes selection screen. Make sure you are at the top of the screen, then choose a theme OTHER than "default."
4. After changing to some other theme, the random changing background has stopped for both Home Screen and Always on Display.
This fixed the problem for me. Hopefully it will for you as well. I was not using any third party launchers or wallpaper apps, so if you are, this may not be the solution for you.