For Windows users msg to eml conversion is pretty straightforward matter, especially if they use Microsoft Outlook. Alternatively, you can convert your .msg files to .eml files with several on-line services, including ZAMZAR or JitBit MSG to EML converter.
For macOS / OS X, you either have to buy some app from store that allows this conversion, or also use some of the online websites for that can convert msg to eml. Unfortunately, even Outlook for OS X does not support import of .msg files, and same goes for OS X Mail.