Importing downloaded files into UE4

Below is the code snippet that writes the files.

// Saves Files onReady
void UDownload::OnReady(FHttpRequestPtr Request, FHttpResponsePtr Response, bool bWasSuccessful)
{
		RemoveFromRoot();
		Request->OnProcessRequestComplete().Unbind();
		
		FString FileSavePath = FPaths::ProjectContentDir() + Asset;

		if (Response.IsValid() && EHttpResponseCodes::IsOk(Response->GetResponseCode()))
		{
			// SAVE FILE
			IPlatformFile& PlatformFile = FPlatformFileManager::Get().GetPlatformFile();

			// Open/create the file
			IFileHandle* FileHandle = PlatformFile.OpenWrite(*FileSavePath);
			if (FileHandle)
			{
				// Write the file
				FileHandle->Write(Response->GetContent().GetData(), Response->GetContentLength());
				// Close the file
				delete FileHandle;
			}
		}
	}

void UDownload::OnProgress_Internal(FHttpRequestPtr Request, int32 BytesSent, int32 BytesReceived)
{
	int32 FullSize = Request->GetContentLength();
	OnProgress.Broadcast(BytesSent, BytesReceived, FullSize);
}

What is format of those files?

Ok so raw files. You can import using AssetTools module

https://api.unrealengine.com/INT/API/Developer/AssetTools/FAssetToolsModule/index.html

With this function:

Just give it array of file paths. This function should automatically pick up registered UFactory from plugin