If you have Excel 2010 or later Power Query ( or "Get and Transform" as it's called nowadays ) is the way to go.
Here's a short tutorial by ExcelIsFun on how to do it. The tutorial is quite old so he's using the original Power Query that you had to load and install. In later versions of Excel you can find it from the Data tab. Other than that the steps are identical.
If you want to have a column for the file name as well select the Content and Name columns before doing the "Remove Other Columns" -step.
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