Create a puzzle piece outline for your images using the shape builder tool in Illustrator. Then bring the puzzle pieces path from Illustrator and lay it over an image in Photoshop, add some layer styles, and watch this effect come to life.
I just could not help but wonder if something like that could be achieved solely in Photoshop using 3D. I decided to record the process and post it as a time-lapse so you can see, from the beginning what can be achieved using just Photoshop. Enjoy!