In PowerBI Desktop, select the View tab and switch from default theme to City Park:
You can also customize the theme or use a JSON theme:
I created a file from the JSON here and selected it. This added the background image to the report:
On PowerBI Service, select a dashboard and change the theme:
See how the appearance changes when you switch to “Dark”
You can also upload a custom theme formatted as JSON. I used the sample here: https://docs.microsoft.com/en-us/power-bi/create-reports/desktop-report-themes#introduction-to-report-theme-json-files.
New appearance after upload: