I am analysing some small molecules data with skyline. However, they are in .mzdata.xml format which cannot be recognized by skyline. How do I convert these files to a supported format in skyline?
You'll have to find a converter that can produce .mzML or .mzXML from mzdata. Unfortunately I don't know of any, but they probably exist.
Out of curiosity, what is the source of this data? Is there any chance that you have the original raw (unconverted to .mzdata) files?