@ultracross
RTF specs!

For example
ID3v2 spec "4.15. Attached picture". Same is true for AAC (QuickTime Atom Structure), OGG, WMA and whatsoever.
@ukbobboy01
The last section of the ID3v2/4.15 spec says:
There is the possibility to put only a link to the image file by using the 'MIME type' "-->" and having a complete URL [URL] instead of picture data. The use of inked files should however be used sparingly since there is the risk of separation of files.
That's what probably happened to you. The MP3s contained URLs to Album Art and your Music Player downloaded it.