my_pmpro_courses_add_featured_image_to_my_courses.php

<?php
/**
 * Add the course featured image thumbnail to the [pmpro_my_courses] shortcode output.
 *
 * You can add this recipe to your site by creating a custom plugin
 * or using the Code Snippets plugin available for free in the WordPress repository.
 * Read this companion article for step-by-step directions on either method.
 * https://www.paidmembershipspro.com/create-a-plugin-for-pmpro-customizations/
 */
function my_pmpro_courses_add_featured_image_to_my_courses( $html, $courses ) {
	if ( empty( $courses ) ) {
		return $html;
	}

	foreach ( $courses as $course ) {
		if ( ! has_post_thumbnail( $course->ID ) ) {
			continue;
		}

		$thumbnail = get_the_post_thumbnail( $course->ID, 'thumbnail', array( 'class' => 'pmpro_courses-list-item-thumbnail' ) );

		// Insert the thumbnail right after the opening <a> tag for this course's list item.
		$pattern = '/(<li id="pmpro_courses-course-' . intval( $course->ID ) . '"[^>]*>\s*<a[^>]*>)/';
		$html    = preg_replace( $pattern, '$1' . $thumbnail, $html, 1 );
	}

	return $html;
}
add_filter( 'pmpro_courses_get_courses_html', 'my_pmpro_courses_add_featured_image_to_my_courses', 10, 2 );