Has anyone tried a port from Expression Engine to Craft using Verbb's Feed Me plugin?
If you import the related items first then you should be able to make the relationship when you import the parent entries.

However, it's really down to the complexity of the relationships.

You may find it simpler to do the import in stages. Start with the bare bones to create entries with the appropriate names/slugs and then bring in the other data bit by bit.

I would favour using XML or JSON for my import format.

I also find it useful to also include some craft fields into which I import the legacy EE id (and any other pertinent information).