Changing MKV to other formats

So I’m trying to get into video editing (I’m hoping to make my own fan edits some day) and I’m not able to import MKV files into Sony Vegas. Does anyone know if there’s a way I can convert MKVs into some other format without losing any quality? Vegas supports the following formats: 4K XAVC S, 4K XAVC, XDCAM EX, XDCAM Optical, DV, HDV, AVCHD, NXCAM, MOV, MP4, WMV, MPEG-1/2/4, H.264/AVC, WAV, FLAC, AAC, MP3, OGG, WMA, Surround Sound/5.1, BMP, PNG, JPEG, TIFF, OpenEXR-, DPX- and WDP image sequences

Okay, let’s try this. Let’s say I want to create a fan edit of Star Wars, so I need to create a high quality digitized version from the discs. Vegas doesn’t support MKV files. Which file format would be best for creating a fan edit? Would an AVI or MP4 work for my purposes?