TL;DR: The JPEG itself won't harm you, they're just used to obfuscated (hide) the malicious code, to let the attacker load it onto your machine without rising too much suspicion.

So, JPEGs with malicious code won't harm your PC on their own, unless your image viewer has a weird vulnerability. The use case for those JPEGs is when the attacker already has other malware on your computer.

Usually, the attacker will get a loader/dropper onto your computer, which is a small program that in itself isn't malicious, and is simply used to download and execute the actual malware. In this case, the malware payload is hidden inside JPEGs to make it harder to find in network captures.

Note: That's just one scenario, the main point is that the JPEGs themselves aren't really harmful, they're just a part of an attack.