Using Matroska MKV in Premiere Pro CS531 Oct 2010
There’s no native way to do this – and I’ll spare you the lecture about editing delivery formats, because, let’s face it, you’re reading this because you’re probably stuck with one.
You can stuff around with AviSynth scripts, or you can give up and transcode using Handbrake or another 3rd party tool – or you can be clever about it and use a remuxing tool that’s much faster and better quality. SmartLabs have a freeware (not open source) product called tsMuxeR (edit: link reported broken in comments – mirror)that will do exactly this that worked like a charm on Windows 7, but there are also versions for Linux and OS X available.
Worth a shot if you’re stuck with a video file Premiere doesn’t want to know about.