Did you follow the instructions in this Help document? http://helpx.adobe.com/premiere-pro/using/importing-still-images.html#import_numbered_stil l_image_sequences_as_video_clips
The Help is missing one step, though. Before importing, there is a small "Image Sequence" checkbox at the bottom of the Import dialog box you need to check. Please make sure you're doing that.
Hope that helps!
Where does it stop? Are you absolutely certain that the numbering does not have a gap?
I have the same issue. I selected the first photo in the sequence, ticked the image sequence box, and then import. The video file is imported as desired, but not with all of the images... not desired.
No gap in sequence. All sequential file names. All same format, all saved in same location. Not all imported. Very frustrating. No clue how to sort it out. Would really appreciate help with a resolution.
Post a screen shot of the file manager showing the last frame that gets imported and the first frame that does not.
Ooooops. I checked the file names more closely. Apparently my Nikon likes to skip a number for no apparent reason! Sorry for the time waste.
Glad you isolated the cause.
In case you're looking for a way batch rename them with fully sequential numbers, Adobe Bridge and Adobe Prelude can both do the job.