Converting format of hard drive How to change format of external hard drive from ExFat to HFS+ without losing data? What are limits for maximum size of a file on both formats?
There is no way to do that without copying all data to a second disk, formatting the first as HFS+, and copying the data back.

The file size limit under ExFat is about 16 Exabytes, which is higher than the maximum possible volume size. And HFS+ is similarly crazy: 8 Exabytes is the limit. Which means that you should never have to worry about file size again! (The developers of FAT32 probably thought the same though :p)

Next time, please make use of websites like Wikipedia before posting these sorts of questions.