Budgets are not converted into Xero.
Xero budgets are part of the reporting system within Xero. They do not have an API to use to bring data from other systems.
For more information on how to set up, create and manage budgets head over the the Xero Help Website
You may be able to export out a spreadsheet from MYOB / Reckon / Quickbooks / Sage, and then use this as the starting point to import that budget in Xero. The instructions are here.