This site doesn't provide a 404 error after i try being able to access an invalid page URL. This site is really a subdomain, I own both primary http://www.mydomain.com, and also the subdomain mysub.mydomain.com.

The issue is only happening using the subdomain where, basically enter something similar to mysub.mydomain.com/invalidpage, still it shows the home page with damaged image links rather than giving a 404 ERROR.

There's likely a guide spinning demands for missing content towards the primary page. Look at your logs for 302 or 301 redirects.

Some sites make use of a custom error page. Otherwise coded well, they'll return a 200 status as opposed to the status that triggered it.