Formats Supported by Unreal Engine Directly
Unreal Engine offers built-in support for importing and exporting FBX files.
These FBX-based workflows are optimized to support game requirements, which tend to be focused on working with individual objects. Datasmith, by contrast, brings in entire scenes, potentially containing thousands of objects, each with its materials, pivots, scale, hierarchy, and metadata, from a wide range of sources. However, you should feel free to use the FBX import pipeline if it suits your needs. For example, you might use it to import pieces of additional set dressing that you'll use to augment your Datasmith content in your Unreal Level.
For details, you can read about our FBX Content Pipeline.
As of Unreal Engine 4.19, there is also experimental support for importing the glTF format directly into the Content Browser using the built-in Unreal Editor importer. Like the FBX import process, this has been optimized for object-based workflows, and has different limitations compared to the Datasmith glTF importer. However, you might find it works for you in select cases. To try it out, go to Edit > Plugins > Importers, enable the glTF Importer plugin, and restart the Editor.