Got a working solution,
This is the post item
<item>
<title>title1</title>
<pubdate>2013-02-20 10:33:58</pubdate>
<dc:creator>
<![CDATA[ David Jennings ]]>
</dc:creator>
<guid ispermalink="false">http://wordpress/?p=1234</guid>
<description>
<title>Title</title>
</description>
<content:encoded>
<![CDATA[ABCD]]>
</content:encoded>
<excerpt:encoded>
<![CDATA[ ]]>
</excerpt:encoded>
<wp:post_id>1234</wp:post_id>
<wp:post_date>2013-02-20 10:33:00</wp:post_date>
<wp:post_date_gmt>2013-02-20 10:33:00</wp:post_date_gmt>
<wp:comment_status>open</wp:comment_status>
<wp:comment_status>open</wp:comment_status>
<wp:ping_status>open</wp:ping_status>
<wp:post_name>title1</wp:post_name>
<wp:status>publish</wp:status>
<wp:post_parent>0</wp:post_parent>
<wp:menu_order>0</wp:menu_order>
<wp:post_type>post</wp:post_type>
<wp:post_password></wp:post_password>
<wp:is_sticky>0</wp:is_sticky>
<category domain="category" nicename="blog"> <![CDATA[ blog ]]> </category>
<wp:postmeta>
<wp:meta_key>_thumbnail_id</wp:meta_key>
<wp:meta_value><![CDATA[888888]]></wp:meta_value>
</wp:postmeta>
</item>
This is the attachment item
<item>
<title>title2</title>
<link>http://wordpress/?attachment_id=888888</link>
<pubDate>Mon, 07 Apr 2014 07:04:24 +0000</pubDate>
<dc:creator><![CDATA[admin]]></dc:creator>
<guid isPermaLink="false">http://wordpress/wp-content/uploads/xx/xxx/image.jpg</guid>
<description></description>
<content:encoded><![CDATA[]]></content:encoded>
<excerpt:encoded><![CDATA[]]></excerpt:encoded>
<wp:post_id>888888</wp:post_id>
<wp:post_date>2014-04-07 07:04:24</wp:post_date>
<wp:post_date_gmt>2014-04-07 07:04:24</wp:post_date_gmt>
<wp:comment_status>open</wp:comment_status>
<wp:ping_status>open</wp:ping_status>
<wp:post_name>title2</wp:post_name>
<wp:status>inherit</wp:status>
<wp:post_parent>1234</wp:post_parent>
<wp:menu_order>0</wp:menu_order>
<wp:post_type>attachment</wp:post_type>
<wp:post_password></wp:post_password>
<wp:is_sticky>0</wp:is_sticky>
<wp:attachment_url>http://wordpress/wp-content/uploads/xx/xxx/image.jpg</wp:attachment_url>
<wp:postmeta>
<wp:meta_key>_wp_attached_file</wp:meta_key>
<wp:meta_value><![CDATA[/xx/xxx/image.jpg]]></wp:meta_value>
</wp:postmeta>
</item>
- Create post for both attachment and post.
- Add relation in both post and attachment.
- Import XML the related attachment should be added as featured image.