Use any linked image in WordPress post content as a featured image

featured-external-image.php

<?php

add_filter( 'post_thumbnail_html', function ( $html, $post_id, $post_thumbnail_id, $size, $attr ) {

	if ( $html == '' ) {
		$post = get_post();

		preg_match( '/src="([^"]+\.(?:jpe?g|png|gif))"/i', $post->post_content, $matches );

		if ( $matches ) {
			$html = '<img src="' . $matches[1] . '" alt="" />';
		}
	}

	return $html;
}, 10, 5 );