The easiest way is to import through excel and that does support importing associated objects but it can only go once association deep. Probably the best way is to import them all into separate entities and have attributes with primary/foreign keys, and then build a microflow that you can run once to associate all of your data.
Here is the documentation on importing through excel
Also an article on a nice trick for large excel files to prevent having to create the entity by hand. In the article I usually create a json structure instead of xml but its the same steps.
https://docs.mendix.com/howto/integration/importing-excel-documents - @ Austin McNicholas
Excel Import is one way to do it. You might take a look at the FlatFile Import module from the Appstore. This moduel allows you to import flat & delimited files.