Divx was MPEG-4 and a popular proprietary brand which came to prominence before MPEG-4 became popular. It has its own standards and therefore as Mike had said can be limiting. The free version took on the name Xvid.
You can embed art into the .mp4 file using Mp3tag - (it does mp4 as well)
Select the file - right click in left hand bottom box and add cover. Save tag and cover. The art now becomes part of the file. No separate file is needed.
If you convert to .mkv use mkvmerge. (part of MLVToolnix)
input - add mp4 file
To show art you must name the art file the same as the .mkv file (video.mkv / video.jpg)
Just noticed the mac bit, it looks like mkvmege has a version for the mac, but mp3tag does not. It looks like itunes then.