Is it possible to converting electromagnetic waves to each other? For example I have a source that emits X-Rays, is it possible to turning them into visible light or micro waves with the same energy as it was xray (I mean, can I change the frequency or the wavelength of the wave)?
 A: Yes, you can, I.e. doubling the frequency by shining the light through a specific cristal. This is used e.g. in a green laser pointer, that uses a red light laser diode and the cristal turns it into green. https://en.m.wikipedia.org/wiki/Second-harmonic_generation
But I don‘t think that there exist a general mechanism to convert light frequencies which, I suspect, your answer is aiming at.
A: Frequency and wavelength change with interactions with a material, for example a red crystal will change white light to red, but a lot of the energy of the beam  of different wavelengths will be absorbed or reflected so  the verb "convert" cannot be used.

For example I have a source that emits X-Rays, is it possible to turning them into visible light

More so for X-rays, which have high energy , and are penetrating , they can interact with matter and give off different wavelengths but mostly not in the optical or micro wave.

or micro waves with the same energy as it was xray (I mean, can I change the frequency or the wavelength of the wave)?

In general frequency cannot be changed in a controled way to use the verb "convert".
There are special cases using laser light and depending on the quantum mechanical properties of lazing where the verb convert may be used, as for example here:

A directly modulated infrared diode laser was frequency doubled in an intracavity KTP quasi-phase-matched waveguide, producing modulated laser light at 425 nm, which was subsequently employed for phase fluorometric detection of CO2 and O2 gases. 

Note that a lot of energy is provided by the system which doubles the frequency, so it is just a conversion convenient for the experiment.
