While using the Import Layers tool you will need to take note of the map scale range. Depending on how far you have zoomed into the map, the list of layers you can import will vary.
When you open the Import Layers dialog box, the available layers shown intersect your current map view, but might not have features at this location. To see layers for a different view, zoom to a new location and refresh this list.
To get started, look for the Import Layers button located at the top of your Layer Legend.
For example, say you are zoomed into downtown Las Vegas, of Clark County Nevada.
Opening the Import Layers tool will show a more limited list that relates to this zoomed in area. This should help narrow down what layers are relevant to your current map view. See below example.
Alternatively, if you are completely zoomed out at a range that covers the southern part of Nevada for example. You will have much more layers to look through when attempting to import.