As of 06 Nov 2016 on UE 4.11.2
1.) Make sure that you are not trying to import a newer version file to a older version of Unreal Engine. Unreal assets are not backward compatible.
Steps to take …
1.) Make sure you close your project that you want to import the file into.
2.) Use Windows Explorer or Mac Finder to copy those file directly into the project’s folder named “CONTENT”.
3.) Fire up Unreal, and open your project. Those files should be detected automatically.
WARNING : DO NOT TRY TO DRAG FROM WINDOWS EXPLORER DIRECTLY INTO CONTENT BROWSER FOR UASSET FILES ONLY.
DOING SO WILL ONLY MAKE UNREAL REPORT THAT IMPORTATION OF ASSET HAS FAILED. Because draging and dropping files
only work with files generated by other softwares like fbx, jpeg, tga, … etc. WHY?! I have no clue that’s how it’s designed.
(If this dont work, most probably the assets you have on hand is of a newer version than the current version of UNREAL you are running.)
Cheers
NOTE : I am not a UE Staff, I tested the steps and reproduced the results on my end. Of cos I am human and could still be doing something
wrong. But it worked for me 
at least on my end.