For ArcMap, I would really recommend you to download a Geofabrik bzipped XML file, or create an OSM XML file with any of the Open Source tools like Overpass Turbo, and then use the ArcGIS Editor For OpenStreetMap toolbox to import the XML file:
https://www.esri.com/arcgis-blog/products/arcgis-desktop/uncategorized/arcgis-editor-for-openstreetmap-10-6-now-available/
You can use both the Load OSM File and the OSM File Loader (Load Only) import tools, both of which create a File Geodatabase with Point, Line and Polygon feature classes for the data in the XML file. The latter tool has advantages for very big files, as it can run on multiple cores if you set the Geoprocessing “Parallel Processing” environment variable. The former is needed if you want to create a Network Dataset with the tool included in that toolbox for that purpose (I haven’t actually done this ever, and some people have reported issues trying to create such Network Dataset. Normal imports using the tools should be fine though).