When you create a page, it has a default gray header image. You can add a custom header image in the Edit Page view by scrolling down and clicking Set featured image in the right hand side dialogue box area.

The optimal size for a header image is 1500px wide by 700px high. If the image is too high, it will be cut off at the bottom. If it’s too wide, it will be cut off at the sides.

You can modify various header settings by scrolling down to General Options.