Hi Paolo,
In the Events Calendar, the only option for importing is CSV. Using our Events Aggregator plugin you can pull in calendar feeds from other sources like Facebook, Meetup.com, Google Calendar, etc.
There is also the option of importing into WordPress using the default WordPress import tools. Check out the WordPress Codex for a list of all the types of sites this is possible with. These do use an XML based file for importing data, but this method will not import all of the related data like venues, organizers, etc.
Let us know if this answers your question, or if you have any others.
Thanks,
Sky