$image_id = media_sideload_image($image_url, $post_id, $post_id);
update_post_meta($post_id, '_thumbnail_id', $image_id);

function new_attachment($att_id){
    // the post this was sideloaded into is the attachments parent!
    $p = get_post($att_id);
    update_post_meta($p->post_parent,'_thumbnail_id',$att_id);
}

// add the function above to catch the attachments creation
add_action('add_attachment','new_attachment');

// load the attachment from the URL
media_sideload_image($image_url, $post_id, $post_id);

// we have the Image now, and the function above will have fired too setting the thumbnail ID in the process, so lets remove the hook so we don't cause any more trouble
remove_action('add_attachment','new_attachment');

foreach( $posts as $nid=>$post )
    $posts[$nid]['ID'] = wp_insert_post( $post );

foreach( $posts as $nid=>$post )
    foreach( $media[$nid] as $m=>$mitem ) {

        if( 0 == $m ) add_action( 'add_attachment',
            function( $att_id ) use ($posts, $nid, $mitem) {
                update_post_meta($posts[$nid]['ID'], '_thumbnail_id', $att_id);
                $posts[$nid]['media_urls'][] = $mitem['url'];
            }
        );
        media_sideload_image($mitem['url'], $post['ID']);
        remove_all_actions( 'add_attachment' );
    }