See the question and my original answer on StackOverflow

Officially, you're supposed to use the IDragSourceHelper interface to add a preview bitmap to a Drag&Drop operation.

Unfortunately, this interface uses IDataObject::SetData method which is not implemented at COM level by the .NET DataObject class, only at .NET level.

The solution is to re-use an IDataObject provided by the Shell instead for any Shell Item (here a file), using the SHCreateItemFromParsingName function and the IShellItem::BindToHandler method.

Note these functions automatically add clipboard formats like FileDrop, but we still have to use IDragSourceHelper to add the preview image.

This is how you can use it:

...
// get IDataObject from the Shell so it can handle more formats
var dataObject = DataObjectUtilities.GetFileDataObject(imgPath);

// add the thumbnail to the data object
DataObjectUtilities.AddPreviewImage(dataObject, imgPath);

// start d&d
DragDrop.DoDragDrop(this, dataObject, DragDropEffects.All);
...

And here is the code:

public static class DataObjectUtilities
{
    public static void AddPreviewImage(System.Runtime.InteropServices.ComTypes.IDataObject dataObject, string imgPath)
    {
        if (dataObject == null)
            throw new ArgumentNullException(nameof(dataObject));

        var ddh = (IDragSourceHelper)new DragDropHelper();
        var dragImage = new SHDRAGIMAGE();

        // note you should use a thumbnail here, not a full-sized image
        var thumbnail = new System.Drawing.Bitmap(imgPath);
        dragImage.sizeDragImage.cx = thumbnail.Width;
        dragImage.sizeDragImage.cy = thumbnail.Height;
        dragImage.hbmpDragImage = thumbnail.GetHbitmap();
        Marshal.ThrowExceptionForHR(ddh.InitializeFromBitmap(ref dragImage, dataObject));
    }

    public static System.Runtime.InteropServices.ComTypes.IDataObject GetFileDataObject(string filePath)
    {
        if (filePath == null)
            throw new ArgumentNullException(nameof(filePath));

        Marshal.ThrowExceptionForHR(SHCreateItemFromParsingName(filePath, null, typeof(IShellItem).GUID, out var item));
        Marshal.ThrowExceptionForHR(item.BindToHandler(null, BHID_DataObject, typeof(System.Runtime.InteropServices.ComTypes.IDataObject).GUID, out var dataObject));
        return (System.Runtime.InteropServices.ComTypes.IDataObject)dataObject;
    }

    private static readonly Guid BHID_DataObject = new Guid("b8c0bd9f-ed24-455c-83e6-d5390c4fe8c4");

    [DllImport("shell32", CharSet = CharSet.Unicode)]
    private static extern int SHCreateItemFromParsingName(string path, System.Runtime.InteropServices.ComTypes.IBindCtx pbc, [MarshalAs(UnmanagedType.LPStruct)] Guid riid, out IShellItem ppv);

    [Guid("43826d1e-e718-42ee-bc55-a1e261c37bfe"), InterfaceType(ComInterfaceType.InterfaceIsIUnknown)]
    private interface IShellItem
    {
        [PreserveSig]
        int BindToHandler(System.Runtime.InteropServices.ComTypes.IBindCtx pbc, [MarshalAs(UnmanagedType.LPStruct)] Guid bhid, [MarshalAs(UnmanagedType.LPStruct)] Guid riid, [MarshalAs(UnmanagedType.IUnknown)] out object ppv);

        // other methods are not defined, we don't need them
    }

    [ComImport, Guid("4657278a-411b-11d2-839a-00c04fd918d0")] // CLSID_DragDropHelper
    private class DragDropHelper
    {
    }

    [StructLayout(LayoutKind.Sequential)]
    private struct POINT
    {
        public int x;
        public int y;
    }

    [StructLayout(LayoutKind.Sequential)]
    private struct SIZE
    {
        public int cx;
        public int cy;
    }

    // https://learn.microsoft.com/en-us/windows/win32/api/shobjidl_core/ns-shobjidl_core-shdragimage
    [StructLayout(LayoutKind.Sequential)]
    private struct SHDRAGIMAGE
    {
        public SIZE sizeDragImage;
        public POINT ptOffset;
        public IntPtr hbmpDragImage;
        public int crColorKey;
    }

    // https://learn.microsoft.com/en-us/windows/win32/api/shobjidl_core/nn-shobjidl_core-idragsourcehelper
    [InterfaceType(ComInterfaceType.InterfaceIsIUnknown), Guid("DE5BF786-477A-11D2-839D-00C04FD918D0")]
    private interface IDragSourceHelper
    {
        [PreserveSig]
        int InitializeFromBitmap(ref SHDRAGIMAGE pshdi, System.Runtime.InteropServices.ComTypes.IDataObject pDataObject);

        [PreserveSig]
        int InitializeFromWindow(IntPtr hwnd, ref POINT ppt, System.Runtime.InteropServices.ComTypes.IDataObject pDataObject);
    }
}