When possible, you should use a standalone Taxonomies import to bring in categories only: https://d.pr/i/hteJyV. However, if your file contains hierarchical categories in a structure like this:
Parent Category > Child Category > Grandchild Category | Second Parent Category > Second Child Category > Second Grandchild Category | Third Parent Category > Third Child Category > Third Grandchild Category
Then, you can use the following workaround:
Start a "New Items" import ( https://d.pr/5s8uX9 ) and select the post type that's associated with the categories you need to import. For example, if you're importing WooCommerce Product Categories, you'll select "WooCommerce Products" in the drop down:
Continue past step 2 and go straight to step 3 in the import. Now, type in a dummy title and dummy content for the product:
Fill in the "Taxonomies" section with your import field(s):
In the "Other Product Options" section, type "trash" (without quotes) in the Post Status field:
Continue to step 4 and type in some static text as the Unique Identifier:
Select "Choose which data to update" and deselect everything other than "Taxonomies" -> "Remove existing taxonomies, add new taxonomies":
This will bring in all of your taxonomies and leave a single dummy post in the trash bin.