Ebooks are a lot like websites: file names inside the book can't contain spaces. (Just like links!)
Open your epub with an ebook editor like Sigil or Calibre.
Usually, all chapters are in different files, and so is the book cover.
Right-click the chapters and the cover and rename them. Replace the spaces with a _ or - or just simply remove the space.
All these solutions are OK. Choose the style you prefer.
Finally, refresh (update) the Table of Contents to ensure that all navigation points are correct.