Jacob I haven't tested this query but you can try and may help you to receive the desired result.
The featured image can save in the wp_postmeta table with the thumbnail_id and wp_attached_file meta_keys. Make sure you the wp prefix for your database.
SELECT
p1.*,
wm2.meta_value
FROM
wp_posts p1
LEFT JOIN
wp_postmeta wm1
ON (
wm1.post_id = p1.id
AND wm1.meta_value IS NOT NULL
AND wm1.meta_key = "_thumbnail_id"
)
LEFT JOIN
wp_postmeta wm2
ON (
wm1.meta_value = wm2.post_id
AND wm2.meta_key = "_wp_attached_file"
AND wm2.meta_value IS NOT NULL
)
WHERE
p1.post_status="publish"
AND p1.post_type="post"
ORDER BY
p1.post_date DESC
