Are these JPEG images or is it a app you downloaded?
Some of these free apps are what I call Candy-Ware stuff people would like. Sadly, many of these apps are Trojans masking what they are doing in the background. Make sure your system is not being hacked (monitor your internet connection).
Lets try something here which should fix the issue.
What I think is happening is you have a SSD model which has less storage than the HD models and it needs a good cleaning.
I bet you you haven't deleted any of the log files or other temp files since you bought the system.
While this is a newer system the smaller storage space you do have on the SSD drive can be used up quite quickly with your files. So the available free space is limited that the system needs to move things between RAM and V-RAM on the HD/SSD and it needs to run storage clean up (TRIM) which is much harder to do on a full drive. You also maybe trying to have to much open at the same time (Apps & data).
In this case your collection of backgrounds with all of the other stuff needed in RAM is too great. So the system needs to move things to HD/SSD V-RAM.
OK, so what you'll need to do here is delete all of the old log and temp files that are on your system. Next you need to try to free up disk space getting rid of stuff or off loading to an external drive. Try to achieve about 1/3 of the space as free.
Now the tricky part: If you have a SSD you can't run any defrag applications as they will in fact wear the SSD and frankly it doesn't help as TRIM will do the work for you. If on the other hand you do have a HD you will want to defrag the HD. But before you do you will want to make sure you have a good backup. I find this one to be one of the better ones: Drive Genius it also have some other useful tools to help in managing your system. There are others out there which will do the job as well.
Once things are cleaned up I think you'll find your slide show of wall papers will work better. You may also want to trim down the collection so fewer are held in memory at a time.