from azureml.core import Workspace, Datastore, Dataset
from azureml.data.datapath import DataPath

ws = Workspace.from_config()
datastore = Datastore.get(ws, '<name of your datastore>')
ds = Dataset.File.upload_directory(src_dir='<path to you data>',
           target=DataPath(datastore,  '<path on the datastore>'),
           show_progress=True)