$image_url = 'http://henriksson.me/wp-content/themes/henriksson/images/markus-henriksson.jpg';
$upload_dir = wp_upload_dir();
$image_data = file_get_contents($image_url);
$filename = basename($image_url);
if( wp_mkdir_p( $upload_dir['path'] ) ) {
$file = $upload_dir['path'] . '/' . $filename;
} else {
$file = $upload_dir['basedir'] . '/' . $filename;
}
file_put_contents( $file, $image_data );
$wp_filetype = wp_check_filetype( $filename, null );
$attachment = array(
'post_mime_type' => $wp_filetype['type'],
'post_title' => sanitize_file_name( $filename ),
'post_content' => '',
'post_status' => 'inherit'
);
$attach_id = wp_insert_attachment( $attachment, $file, $post_id );
require_once(ABSPATH . 'wp-admin/includes/image.php');
$attach_data = wp_generate_attachment_metadata( $attach_id, $file );
wp_update_attachment_metadata( $attach_id, $attach_data );
// Set the uploaded image as featured image
set_post_thumbnail( $post_id, $attach_id );