I've downloaded & imported several .OBJ models into Blender but they don't always import with the textures automatically in place, even though the model came with them. Here's an example: https://drive.google.com/file/d/0B_yQeQQ8ImENWWYyb0oxYWZMVjQ/edit?usp=sharing
I assume this is due to the presence of an .MTL file, but I don't know for sure.