Encourage them to come to you if this happens. Reassure them that they will not get in trouble if they do (and follow through if they do).
If the photo is of a peer and there are no concerns about harassment of your child, they should delete it right away. You or the two of you together can report this to their school so they can make sure it gets addressed appropriately.
If the photo is from an adult OR if this message reflects ongoing or possible ongoing harassment (for example, if the photo is from an ex-boyfriend or ex-girlfriend), your child should not delete the photo as it is evidence. If it is a peer, then you and your child can discuss reporting to school and/or the police; if it is an adult, report to law enforcement.