Covariance of reconstruction images are useful to analyze the magnitude and correlation of noise in the evaluation of systems and reconstruction algorithms. The covariance estimation requires a big number of image samples that are hard to acquire in reality. A covariance propagation method from projection by a few noisy realizations is studied in this work. Based on the property of convergent points of cost funtions, the proposed method is composed of three steps, (1) construct a relationship between the covariance of projection and corresponding reconstruction from cost functions at its convergent point, (2) simplify the covariance relationship constructed in (1) by introducing an approximate gradient of penalties, and (3) obtain an analytical covariance estimation according to the simplified relationship in (2). Three approximation methods for step (2) are studied: the linear approximation of the gradient of penalties (LAM), the Taylor apprximation (TAM), and the mixture of LAM and TAM (MAM). TV and qGGMRF penalized weighted least square methods are experimented on. Results from statistical methods are used as reference. Under the condition of unstable 2nd derivative of penalties such as TV, the covariance image estimated by LAM accords to reference well but of smaller values, while the covarianc estimation by TAM is quite off. Under the conditon of relatively stable 2nd derivative of penalties such as qGGMRF, TAM performs well and LAM is again with a negative bias in magnitude. MAM gives a best performance under both conditions by combining LAM and TAM. Results also show that only one noise realization is enough to obtain reasonable covariance estimation analytically, which is important for practical usage. This work suggests the necessity and a new way to estimate the covariance for non-quadratically penalized reconstructions. Currently, the proposed method is computationally expensive for large size reconstructions.Computational efficiency is our future work to focus.