In Photoshop, you can use any image as the "frames" - jpg, gif, png, etc.
Like so:
Notice, on the right, that each image is its own layer. The result, when saved, becomes an animated GIF file (assuming you click the proper checkmark) and converts all the frames into GIF. But, as you're placing in the files, any format may be used - jpg, png, etc. However, the end result will be a .gif.