One of the quirky little annoying things about WordPress is that it sometimes (or maybe always) uses relative image links in its RSS feed. What this means is that, when you put an image in an article, the link says, “Hey, article, just look for this image in this specific directory, relative to this article. In other words, if your image is in the directory, “http://www.mywordpressblog.com/images/image.jpg ,” then WordPress might automatically set the link to that image relative to your domain. In other words, instead of giving the entire URL, it might do something like this”…/…/images/image.jpg .” Now this works great in terms of your article, which resides in a fixed location in the database on your server. But for an RSS feed, it doesn’t know what the relative link is relative to, and therefore, it returns nothing to your readers. So, try to use the absolute url for images instead of relative paths.
More about this can be found at this article http://www.mytechtool.com/eliminating-relative-link-errors-what-do-you-do-when-images-dont-appear-in-your-rss-feed/