We develop a heterogeneous-agent New Keynesian model to analyze the transmission of foreign demand shocks in the Brazilian economy. This is achieved by incorporating incomplete markets into a seminal open-economy model. Under the assumptions of sticky wages, flexible prices, and a constant real interest rate, we analytically show that our model features two indirect transmission channels, whereas the original model includes only the direct channel. We extend our model by introducing investment, price rigidity, a Taylor rule, and a segmented international financial market. In this extended version, foreign demand shocks are transmitted through the direct channel and five indirect channels. By calibrating the model with Brazilian macroeconomic and distributional data, we show that the direct channel plays a minimal role in the transmission process. When examining how foreign demand shocks affect different wealth percentiles, we find that the poor are more influenced by labor dynamics, while the rich are more influenced by financial dynamics.