Some older themes or even few new ones do not use featured images in their excerpts. Adding them is quite simple though.
First make sure your theme’s functions file does not contain the following lines.
If you do not find this in your code add it to your functions file.
To call the featured image you have to see what is controlling these excerpts whether index.php, archive.php, category.php etc.. Add the following line:
<?php the_post_thumbnail( 'thumbnail' ); ?>