We have created a program called stata2mplus that you can use to
convert your Stata data into a data file (a .dat file) and Mplus program
(.inp file) that you can use in Mplus. You can download stata2mplus by typing
search stata2mplus
(see How can I use the search command to search for programs and get additional
help? for more information about using search). Additionally you can download the package manually from Stata Programs for Data Analysis.

Say we wanted to convert the a file called c:datahsb2.dta toan Mplus data file. After installing stata2mplus,
you would type this.

stata2mplus using c:datahsb2

This then creates c:datahsb2.dat and c:datahsb2.inp .
Then you would start Mplus and click File then Open and choose
c:datahsb2.inp and then you canrun that program to get a basic
analysis (with descriptive statistics) to check to see that the file was
converted properly.  Then, you can modify the program to use the variables
you wish and start to build your Mplus model.

Say you wish to convert just the variables
read write math
science then you can do this.  Note we also used the replace
option to indicate we wanted to overwrite the existing .dat and .inp
files.

stata2mplus read write math science using c:datahsb2 , replace

Or if you wanted to convert all of the variables but put into
the usevariables statement in Mplus that you wish to use just readwritemathscience then you can do this.

stata2mplus using c:datahsb2 , use( read write math science) replace

By default, missing values are converted to -9999.  If you
want to use a different value (say -1234) for missing, you can do this.
Missing values must be integers.

stata2mplus using c:datahsb2 , use( read write math science) missing(-1234) replace