File formats
The GeoPackage format is a general spatial data file format for vector data. It can be read by spatial packages in Python and R (with the terra or sf package), and by GIS software such as QGIS and ArcGIS.
A shapefile consists of at least four files (.shp, .shx, .dbf, .prj). This is an older, but still commonly used format that can be used in R, Python, and GIS software such as QGIS, ArcGIS, DIVA-GIS, and many other programs.
A Google Earth .kmz file can be opened in Google Earth.
GeoJSON files are useful for web mapping with JavaScript.
For easy use of these data in R you can use the geodata package, specifically the geodata::gadm() function. See rspatial.org to learn about using spatial data in R.
Some files have been compressed and grouped in ZIP files. You can use programs such as 7-zip to decompress and ungroup these files.