Converting MGRS coordinates isn’t directly supported by most GIS applications since it’s not part of the popular PROJ.4 Cartographic Projections Library.
You can convert MGRS one at a time or in batch with GeoTrans.
There’s mgrs specific python wrapper for Geotrans mgrs 1.1.0
Another alternative is GeographicLib which has standalone utilities for converting MGRS along with other systems. It has wrappers in most languages, but the specific conversion function isn’t available in python.