Well, according to Adobe, Premiere Pro only accepts AVI, M4V, MOV, MP4, MPEG, MPE, MPG, WMV, files. And you can easily find MKV is not there. Since MKV is not supported by Premiere Pro, in order to edit MKV videos in Premiere Pro CS6, you need to convert MKV videos to Premiere compatible format first before transferring the files to Premiere.
As the vichow mentioned, Handbrake is a top freeware for us to encoding kinds of videos, but as far as I know it can't generate Premiere Pro most likely MPEG-2 video. To convert MKV to MPEG-2, a edit-friendly format for Adobe Premiere Pro, you can try Brorsoft Video Converter or Video Converter for Mac. It provides the optimal preset for Adobe Premiere Pro that brings you the best result.