files

Software:
Unreal Engine 4.20

Importing assets into a project is done using the import_asset_tasks() function which is a member of the unreal.AssetTools class.
A reference to the AssetTools class is created by calling the get_asset_tools() function which is a member of the unreal.AssetToolHelpers class.
The import_asset_tasks() function requires a list of unreal.AssetImportTask objects as an argument, each unreal.AssetImportTask object in the supplied list represents the import action of a single asset, and contains properties needed for the import operation.
Asset import properties are set using the set_editor_property() function which is called through the AssetImportTask object.
Available asset import properties are listed here:
https://api.unrealengine.com/INT/PythonAPI/class/AssetImportTask.html

In the following example a specified texture file is imported into the project and stored in the Content(Game) > Textures folder.
* If the folder doesn’t exist it will be created.

import unreal
AssetTools = unreal.AssetToolsHelpers.get_asset_tools()
AssetImportTask = unreal.AssetImportTask()
AssetImportTask.set_editor_property('filename', "D:\Wood_Red_A.jpg")
AssetImportTask.set_editor_property('destination_path', '/Game/Textures')
AssetTools.import_asset_tasks([AssetImportTask])

The following example imports all the JPG files from folder: D:\ into the project, stores the new assets in Content(Game)\Textures folder and saves them:

from os import listdir
from os.path import isfile, join
import unreal
dir = "D:\\"
files = [f for f in listdir(dir) if isfile(join(dir, f)) and f[-3:]=='jpg']
AssetTools = unreal.AssetToolsHelpers.get_asset_tools()

import_tasks = []
for f in files:
     print join(dir, f)
     AssetImportTask = unreal.AssetImportTask()
     AssetImportTask.set_editor_property('filename', join(dir, f))
     AssetImportTask.set_editor_property('destination_path', '/Game/Textures')
     AssetImportTask.set_editor_property('save', True)
     import_tasks.append(AssetImportTask)

AssetTools.import_asset_tasks(import_tasks)

* note that when copying and pasting a script from this example, the indentation may not be pasted correctly.

Related:

1. Get started with Python in UE4
2. Setting actors locations