Am I able to covert JPEG into RAW so I can treat the images on Lightroom? Reason why is that for years I am travelling and taking tons of pics but my Nikon was programmed only to save in JPEG format.. Am I able to convert those pictures so I can do something with them now?
In my opinion, none of the other answers addresses the obvious misconception in the question:
There is no use in converting a JPG (comparatively low quality) to a RAW file (high quality), because you do not gain anything.
The reason why people shoot in RAW is that, as others have stated, RAW captures all the sensor data and saves it in a file. JPGs have less information than RAW and that is why people shoot RAW in the first place. You gain nothing by converting a JPG to a RAW, because you still have the same information as before.
(Edit: JPGs have less info compared to RAW when shot on the same camera. A high quality (low compression) JPG from a camera with a good sensor can have much better "quality" than a RAW file from an old junk camera. Thanks to @mattdm for the comment.)
But don't be discouraged: Even though RAW files are better to work with, you can still use JPGs in photo editing and improve your old photos. It will be significantly harder to make large jumps without creating artifacts, though, so maybe less is more here when you are editing.
TL;DR You can do something with your old JPGs, but you don't have to convert them to RAW for that.
In the absence of real raw files, the JPG is your "raw". Most image editors, including Lightroom, can open or import JPGs. You may choose to save in another format while editing, but do not lose or destroy the original JPGs. Also take care not to save over the original files.
It is possible to convert JPGs to DNG. But it's usually used to test and develop algorithms to process raw files. The resulting DNG would not contain the original scene data that a real raw would contain. This process serves no practical purpose for ordinary users. (DPReview Forums: Creating synthetic raw files)
When I say 'the JPG is your raw', I do not mean it has all the data that a raw file would be expected to have, but that it is the best you have when you don't have raw files. It's as if film negatives had burnt in a fire, but prints were saved at a relative's house. The prints are now the nearest thing to the originals. While you could make copy negatives, they would not replace the prints.
However, I do not state there is no use converting formats because there are some situations in which it is of value to convert, as long as the original files are preserved. Lightroom is a non-destructive editor, so there is usually no need to save different versions of files, but if a different editor were used, it can be useful to save edits in a different format. This would be analogous to making copy negatives of the aforementioned prints to do additional darkroom work.
Re Doug's nit. He is incorrect in stating that conversion is not possible, or possible only under certain circumstances. He is correct that a lot of work would be required to produce good results. Something being possible doesn't mean it should be done. Also, Lightroom seems to be able to export DNG files from JPG. (Adobe Forums: Convert jpg to dng) – I am not recommending the use of DNG, only pointing out that such conversion is possible, which is what is asked.
To explain a bit further a raw image stores the input as it comes off the sensor, so each pixel will have a single colour and 12-16 bit value depending on your model of camera.
A jpeg file will have 3 colours for each pixel with every chanel at 8 bits. In saving as a jpeg the camera will have taken the raw data and processed it to jpeg without saving the original data.
You can still edit and play with jpegs, but as you're working with significantly less data you'll get artifacts sooner than if you were using raw data.
RAW files contain ALL the image information that was captured by the sensor. The conversion, or export, to JPG removes some of that information in the name of making a file that is smaller in size and that (normally) looks good in its native (Saved As...) resolution. Basically, a JPG only has enough info to display the image.
Once that JPG is created, the information that might create a RAW file is gone. I know of no way to get it all back or even create a RAW file with the limited info from the JPG.
You could, however, export the JPG as a TIFF file. Most image editing applications can do this; even Preview on the Mac. A TIFF is (usually) an uncompressed file that allows extensive editing. If you stay within the resolution of the source JPG you could probably do some limited editing. How much editing capability you get and the quality of those edits will depend on the amount of compression used to make the JPG. Lots of compression; not much to be done. Light compression (saved at highest quality) will allow more leeway.
Seeing as how I'm getting so much push-back, I'll explain my thoughts and expand on this a bit: Editing a JPG file can create a cascading (for lack of better words) loss of quality. Each edit degrades from the original by some degree. If said JPG is exported or saved as a TIFF, the resulting file is like a snapshot of the source JPG and can be edited without any additional degradation or artifacts that would be associated with editing a JPG. It may pick up some new artifacts or be otherwise degraded, and this will vary depending on the quality of the original source JPG and the editing talent of the user. The TIFF and any file exported after editing the TIFF will NEVER be any better or contain any more information than the original source JPG. In the end, my point is that this would a capability for limited editing while possibly avoiding additional degradation. Should I have typed this into my original reply? Yes, I should have. Mea Culpa.