You can often transfer credit card rewards (such as American Express Membership Rewards or St.George Amplify Rewards) to frequent flyer programs, but you can't usually transfer frequent flyer points between programs.
Keep in mind that you can use your frequent flyer points to redeem flight rewards with a partnered airline. For example, Qantas belongs to the oneworld Alliance, so you can use your Qantas Points to redeem flight rewards with partners including British Airways, American Airlines and Cathay Pacific.