Introduction
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When installing Gnome on Arch Linux I only installed the base packages, as a result the thumbnail generated did not work out of the box.

Solution
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In this case the fix is very simple, it just requires the installation of a few packages

sudo pacman -S ffmpegthumbnailer gdk-pixbuf2 tumbler poppler-glib libopenraw gnome-epub-thumbnailer

ffmpegthumbnailer - This package selects a frame from videos to store in the Gnome thumbnail cache folder so that it can be displayed by the file manager
gdkpixbuf2 - This is a core gnome library to support image loading
gdkpixbuf2-thumbnailer - This library generates thumbnails for basic image formats
tumbler - This is a general thumbnail generator originally developed for XFCE, but that also works with GNOME
poppler-glib - This is a thumbnail generator for PDF files
libopenraw - This is a thumbnail generator for .raw image files
gnome-epub-thumbnailer - GNOME package to generate thumbnails for EPUB files

For thumbnail generation to work properly you may also need to clear the thumbnail cache using the command

rm -rf ~/.cache/thumbnails/*

Then either restart your system or restart your file manager, in my case I restarted nautilus.