UISegmentedControl selected state icon image

   [segmentedControl addTarget:self action:@selector(segmentAction:) forControlEvents:UIControlEventValueChanged];

-(void)segmentAction:(UISegmentedControl*)sender {

    [sender setImage:[UIImage imageNamed:@"image.png"] forSegmentAtIndex:sender.selectedSegmentIndex];

}

[segmentedControl setBackgroundImage:image 
                            forState:UIControlStateSelected
                          barMetrics:UIBarMetricsDefault]

You also have to set an image for UIControlStateNormal for this to take effect.

Apple documentation

Here I created two UISegmentedControl elements programmatically u can set image icon.

UISegmentedControl *switchView=[[UISegmentedControl alloc] initWithItems:[[[NSMutableArray alloc] initWithObjects:@"Yes",@"No",nil] autorelease]];
[switchView setFrame:CGRectMake(180,802,94,27)];
switchView.selectedSegmentIndex=1;
switchView.segmentedControlStyle=UISegmentedControlStyleBar;
[switchView setImage:[UIImage imageNamed:@"switchBlueBg.png"] forSegmentAtIndex:0];   // set icon for when selected
[switchView setImage:[UIImage imageNamed:@"switchOffPlain.png"] forSegmentAtIndex:1];  //set icon for when unselected
[switchView addTarget:self action:@selector(checkOnOffState:) forControlEvents:UIControlEventValueChanged];             
[scrollview addSubview:switchView];

UISegmentedControl *switchView1=[[UISegmentedControl alloc] initWithItems:[[[NSMutableArray alloc] initWithObjects:@"Yes",@"No",nil] autorelease]];
[switchView1 setFrame:CGRectMake(180,1003,94,27)];
switchView1.selectedSegmentIndex=1;
switchView1.segmentedControlStyle=UISegmentedControlStyleBar;
[switchView setImage:[UIImage imageNamed:@"switchBlueBg.png"] forSegmentAtIndex:0];  // set icon for when selected
[switchView setImage:[UIImage imageNamed:@"switchOffPlain.png"] forSegmentAtIndex:1];  ////set icon for when unselected
[switchView1 addTarget:self action:@selector(checkOnOffState1:) forControlEvents:UIControlEventValueChanged];
[scrollview addSubview:switchView1];



-(IBAction)checkOnOffState:(id)sender
{
    UISegmentedControl* tempSeg=(UISegmentedControl *)sender;

    if(tempSeg.selectedSegmentIndex==0)
    {
        //your codes
    }
    else
    {
        //your codes
    }   
}