How do I convert a song to MP3 on my iMac running Catalina?

See Convert a song to a different file format with the Apple Music app or iTunes for Windows - Apple Support. The process can only be used on locally stored music that hasn't come as part of the Apple Music service.

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If you still need the MP3, you can buy the song in AAC format from the iTunes Store and convert by the procedure linked by tt2, or you can buy it as an MP3 download from Amazon or Google Play.