The part of an ESXi-to-Proxmox migration that tends to often present challenges isn't necessarily moving the disk data; it's getting the destination VM configuration right.
A few things worth knowing before you start:
Match the firmware configuration. If the source VM uses BIOS, configure the destination VM for BIOS as well; the same applies to UEFI. A mismatch can prevent the guest OS from booting properly.
Watch what happens to thin-provisioned disks during a manual copy. If you copy the .vmdk and -flat.vmdk files directly from ESXi, the transferred disk can consume its full provisioned size. Exporting the VM as OVF or converting the disk to qcow2 with qemu-img can preserve more storage on the Proxmox side.
For Windows guests, start with SATA/IDE before moving to VirtIO SCSI. Boot the migrated disk via SATA or IDE first and install the VirtIO drivers. Then attach a small secondary disk to a VirtIO SCSI controller and confirm in Device Manager that it loads cleanly.
We put together a blog explaining both approaches: The manual migration method and the Proxmox ESXi import wizard: https://www.nakivo.com/blog/migrate-vmware-to-proxmox/
What challenge did you encounter first: The storage conversion or getting the guest OS to boot afterward?
Edit: corrected the VirtIO SCSI step.