You can import STEP files.
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Application Menu > Import > Select File To Import dialog > Files Of Type drop-down list > Choose STEP (*.STP, *.STEP).
Standard for the Exchange of Product Data (STEP) is an ISO standard exchange format that multiple programs can recognize. It is used for transferring graphics data between CAD/CAM systems.
3ds Max does not export the STEP format.
Import options appear on the Import Settings dialog.