GPX is the standard route file. After you download it, open it in an app that follows a route — Apple's built-in Workout / Maps apps can't.
Apple Watch: open the GPX in WorkOutdoors (one-time ~$5, best Watch experience), or Gaia GPS / Komoot.
iPhone only: Strava (Premium), Komoot, Footpath, Ride with GPS, AllTrails+, or Gaia GPS.
KML opens in Google Earth and similar viewers — handy for previewing the route on a big screen.