How do I insert a .WLD file into ArcGis Pro?
Are you working with CAD or raster data?
a *.wld is a 'world' file used to provide a reference framework for a file that you use the Add Data tool to add it to a map. So you don't actually add the *.wld file, but the one that is associated with it
About georeferencing CAD data—ArcGIS Pro | ArcGIS Desktop references *.wld files.
If the files can be added to a map, they can be added in the usual way.
If you want to convert them to another format, you might want to elaborate further
Retrieving data ...