I am trying to import a downloaded 3D max (.3DS) object into Unity3D and preserve the textures correctly. I've tried to select the .3DS-file and its jpg-files and dragged and dropped it into Unity3D. Everything works fine, and the object can be added to the scene. But I am unable to add the texture to the object. I have tried to drag and drop it like you can do with other kinds of objects, but it won't work on the imported objects.
The right way to apply a texture to a Mesh in Unity is creating a Material and then assigning your texture to the Albedo/Color map attribute of the Material, then you can drag and drop the Material into your desired Mesh/Object in the Scene.
Material Inspector in Unity 5: