function set_first_image_as_featured() {
    if (has_post_thumbnail()) {
        return;
    }
    $content = apply_filters('the_content', get_post_field('post_content', get_the_ID()));
    preg_match_all('/<img.+src=[\'"]([^\'"]+)[\'"].*>/i', $content, $matches);
    if (!empty($matches[1][0])) {
        set_post_thumbnail(get_the_ID(), $matches[1][0]);
    }
}
add_action('the_post', 'set_first_image_as_featured');