I was able to load models with textures etc. on a different thread in jme2 already..
You can load textures from another thread, but you can't load them from multiple threads simultaneously, since TextureManager is not thread-safe in jME2.
I have recently commented out the multithreaded-based loading in jME3, it became incompatible to the many changes that happened with asset handling. The best way to do it is probably to have a preload list, that tells all resources that shall be loaded, then these resources are loaded in multiple threads depending on how many cores the machine has, you would then receive notifications in the OpenGL thread telling you that a resource has finished loading and needs handling.