If you use the overlay option in the video module and generated a thumbnail for the video, you will notice the play icon on top of that image as seen here:

However, if you want to change it, it can be done with a simple CSS code:

.et_pb_video_play:before {
a.et_pb_video_play {
    margin-left: 0 !important;
    left: 0;
    right: 0;

Add the code in Dashboard > Divi > Theme Options > Custom CSS field and you should see the new image.

Be sure to change the image link, the width, and the height of your image.