• Confirm the current post/page has a WordPress Featured Image assigned.
• Confirm the custom post type supports post thumbnails if you are using a CPT.
• Confirm you are previewing the intended content item rather than only a generic template context.
• Configure a fallback if the design should still show an image when the current item has none.
• Check whether custom CSS is hiding or collapsing the widget.

Remember that outputting nothing when no Featured Image exists is normal for the Featured Image widget unless a fallback is configured.