A few possible reasons.
export/import settings:
Make sure to set the material export options in the fbx export dialog
Also check out different fbx versions for compatibility.
From my experience fbx 6.1 works best. In R17 it is even able to import textures and tiling into UE4.
Maybe in R19 it’s different, so try it yourself.
mesh setup:
I’ve learnt that the order of tags can make a difference in certain situation, too.
e.g. if you use two UV channels aka two UVW Tags with a unique name, your materials have to be on the left side.
Otherwise you’ll get an error message on Import that no materials are assigned and a default Material is used.
Also i think that on a Mesh with multiple Materials every Material has to have a Selection.
So no Materials without Selection or Polygons without Material.
(not entirely sure about the first one, would have to test this)