Cut Out Image

Are all your puzzle pieces on their own layer, or grouped? You need to isolate them somehow - you can select each of the four different colours, select same fill, move to a new layer, repeat for the next three - for yellow you will have to deselect the yellow around the text.

Turn off that layer, all you should see is your  black and white image (plus yellow around text)

Select all, and repeat my previous post - you do not need to select or deselect between each step.

When you get to the "mask" stage, move it to the Jigsaw layer, turn all layers off, turn jigsaw layer on, make sure "mask" is upper most, select all, make a clipping mask...