macOS can read and write to exFAT file system by default. It is easy to move the files from the exFAT external hard drive to your MacBook Pro, simply dragging the files from the external hard drive and dropping them to the target destination in Finder.
There are multiple ways you can choose to transfer files from external hard drive to Mac, you can first open the external hard drive from the Mac by clicking the drive icon on the desktop or accessing it from Finder's sidebar, selecting all the items you want to move, then drag-drop keyboard shortcuts to copy-paste the files to the destination on your Mac such as Documents, Desktop, etc.
Besides, you can run the Terminal command mv or cp to move/copy files from the external hard drive. If you are looking for the easiest way, you can try iBoysoft MagicMenu, a right-click tool for Mac. You just need to select the desired items first on the external hard drive, right-click and choose Move/Copy, then select the destination. You can also add the target path you prefer for the transferred files to the right-click menu.