Most likely there's something wrong with the path to the images. Try the following:
1. Save the Word doc as a filtered .html file.
2. Download Sigil
and add the .html file to a new project.
(If the images don't show up, add them manually to the Images folder of the project and insert them where they belong.)
3. Add a cover image and metadata such as title, author and language.
4. Save the project as an .ePub file and open it with Kindle Previewer
, which will generate a .mobi file.