I took a photo with my iPhone and then airdropped it to my Mac. This opened it up in Preview. From there I could see that the extension on the file was HEIC. I'm not familiar with that filetype and what I want is a JPG.
The Preview app (which is already open in this scenario) can handle this conversion.
Go to File > Export...
Change the format from HEIC to JPEG.
Feel free to update the name and save location at this point as well.
Then hit Save and Preview will perform the conversion.