Importing from Texture Packer
If you are using the third party sprite sheet generation tool Texture Packer for content creation, it has a plug-in built into it which will allow you to easily import your content into Unreal Engine 4 by creating a .paper2dsprites file. This file when imported into UE4 will automatically import your sprite sheet as a texture, extract and create sprites from it as well as create a Sprite Asset which can be used to auto-generate Flipbooks out of your sprites.
Inside Texture Packer, select the UnrealEngine - Paper2d framework option.
Add your assets that will be included in the sprite sheet.
Under Layout set Size Constraints to POT (Power of 2).
Under Sprites, show advanced and set Border and Shape Padding to 0.
This will eliminate the spaces between your sprites, making it easier to tile them together or create Flipbook animations.
Click the Publish sprite option (this will create a .paper2dsprites file along with a .png sprite sheet)
Drag the .paper2dsprites file into the Content Browser of your project to import it.
The .png file is already included with the .paper2dsprites file so there is no need to import that as well.
This will create a Sprite Sheet asset and two folders Frames (extracted sprites) and Textures (your sprite sheet).
From here you can Right-click on...
Your Sprite Sheet asset to automatically generate Flipbooks based on your sprites.
Your imported texture to adjust its settings, configure it for retro sprites or create a Tile Set based on it.
Your individual frames to manually add them to a Flipbook.