You can import leads to two kinds of already created segment: A/B testing segment and Static segment. You cannot import leads to Standard segment unfortunately.
For A/B Testing Segment
Go to you Brand > Segments and select any A/B testing segment. Notice the type of segment “A/B testing” and click on the segment which you want to import leads to.

After entering the segment, click on Import.

Select a CSV File with First Name, Last Name, Email address and Subscribed status. Click Continue.

Match the First name, Last name, Email Address and Is subscribed with CSV File information as shown below. Then select the following configurations. Finally click Import file button.

The CSV file containing the leads will be imported successfully as shown below.

Now go to the A/B testing segment and you will see that your leads are added to that segment.

For Static Segment
Go to you Brand > Segments and select any static segment.

Notice the type of segment “static” and click on the segment which you want to import leads to.

After entering the segment, click on Import button.

Select a CSV File with First Name, Last Name, Email address and Subscribed status. Click Continue.

Match the First name, Last name, Email Address and Is subscribed with CSV File information as shown below. Then select the following configurations. Finally click Import file button.

The CSV file containing the leads will be imported successfully as shown below.

Now go to the static segment and you will see that your leads are added to that segment.
