I watch the threeparttable file which can deal with footnotes in captions. And I tried:
\documentclass{article}
\usepackage{threeparttable}
\usepackage{graphicx}
\begin{document}
\begin{figure}[h]
\begin{threeparttable}
\centering
\includegraphics[]{first.jpg}
\caption{second\tnote{1}}
\begin{tablenotes}
\footnotesize
\item [1] three
\end{tablenotes}
\end{threeparttable}
\end{figure}
\end{document}
The output is
So there are two questions:
- The caption is missing
- The position of the footnote is too left
Is there a way to solve these two problems?

tnoteto solve footnotes. – Y. zeng Apr 12 '22 at 13:17