Some dedicated CAD converters like CrossManager support both the CGR and STP format and can convert data between each other. Other than that, CATIA software probably can also help you as CGR originates from it (or some of its earlier versions).
Convert CATIA MultiCAx plug-in conversion file to ISO-10303 STEP product data.
We found 3 software records in the database related to .cgr to .stp file format conversion.
Microsoft Windows software - convert cgr to stp on Windows
A dedicated CAD converter
Convert from cgr file format
The tables with software actions are a good pointer for what a certain program does with various file types and often may give users a good hint how to perform certain file conversion, for example the above-mentioned cgr to stp. However, it is not perfect and sometimes can show results which are not really usable because of how certain programs work with files and the possible conversion is thus actually not possible at all.
A CAD converter with huge format support
A CAD visualizaton, analyzation and translating system