I noticed recently that Gatsby has a format of naming your blog posts in your folders, for example 2017-08-08-hello-world with an index.md inside it, whereas Jekyll made you format the name of the file as 2017-08-08-hello-world.md.
I wasn't sure if maybe there was a plugin I could add to let me use the Jekyll format instead, so I just created a small script that would take the title of the post, strip out the .md extension, make a folder with that name, and copy the file into that folder with the title index.md.
Make a clone of your /_posts/ Jekyll directory somewhere else on your hard drive, or in your new Gatsby directory.
Download the migrate.sh file into the directory you just created.
Run the line below to give the script executable permissions, you may need sudo for this.
chmod +x migrate.sh
All that's left to do is run the script, passing in the markdown files as an argument.
./migrate.sh *.md
The script will then create folders based on your filenames, and move the files into those folders as index.md files.
To be safe, it will also create a directory called post_backups that will house all the original markdown files.