I haven't been able to visualize a .jpg map in ArcMap. I tried zooming to the layer and also the 'fit to display' feature in the geo-referencing menu, but they didn't fix the issue. I've already defined the projection of the map. Any idea of what else could I do? I want to georeference a jpg image according with the map I'm working on.
In ESRI products, images with spatial reference have a "world-file", (if you have a JPG, it's corresponding world-file has the extension "jgw"). For details go to @MappaGnosis' answer.
When you place an image without reference in your map, it's pixel coordinates will match with the choosen CRS and usually, your image is situated at the origin of your CRS at coordinates (0,0).
In the layer menu of ArcMap(not in the georefencing tool), right click on the layer containing the image and select "zoom to layer". Now you should see the image and also it's coordinates / extent in the coordinate pane below.
I believe you may need to reset the gamma using the Image Analysis window. If you read this thread (https://community.esri.com/thread/3285) and scroll down to the reply from allisamcmasters and follow their instructions this might make your image appear when you click 'zoom to layer'. It certainly worked for me with a similar problem.