Here is my research on available plugins that are able to cache external images locally, and do that automatically; so called, sideload external images or local image caching.
But the only ones from that list that are still maintained are:
By digging deeper into Wordpress.org’s plugins repository, I found more plugins that are still actively maintained:
This plugins is not for that exact purpose, but a helper when editing to import image from some external site:
This plugin localy caches images also, so steal from it: Content Cards Content Card images are now cached in Media Library.