Conversion from CATIA to 3ds Max is possible and is primarily done with 3ds Max itself. Alternatively, you can use some of the viable 3rd party viable software capable of this particular conversion.
You can import CATIA V5 files (.catproduct, .catpart etc.) as 3ds Max Body Objects using the application Menu ► Import ► Select File to Import dialog ► Files of type drop-down list ► Choose Catia V5.