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If you are importing from another WordPress site, be sure to include the media & attachments. The XML file you're importing only contains the text of pages and posts. Also run the URL updater to update the links to the media files as the site ID is now different.
What Gets Imported
Posts, Post Categories, Pages, Authors, and some items from the Media Library get imported. If you select 'Import attachments' and the site is still online at its original address then the import tool will grab copies of every file (images, documents, etc), add them to your media library, and keep them in the appropriate pages and posts. Items in the Media Library that are not currently in use by a page or post on your original site will be left behind.
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