There are two possible reasons of this issue. First one is browser based and it is described in this FAQ.
Second one could be caused by the fact, that the ‘Selected item transformation’ property of the Lightbox webpart is not set. In this case, there needs to be the image tag rendered when seeing selected items. For instance you can use our predefined ‘CMS.File.LightboxSelected’ transformation which contains code as follows:
<img src="<%# GetFileUrl("FileAttachment") %>" title="<%# Eval("FileName") %>" alt="" />
This transformation is intended for CMS.File document type based documents, so if you store files any other way, you will need to adjust it as per your needs.
Links to other resources: