That tends to happen when you export entire place files from studio and import them into Blender. The way that studio writes to an .obj is to combine everything into one mesh, and there are three potential solutions for this when dealing with characters:
1.) You can separate the mesh manually by duplicating it and isolating each limb, but that can be time-consuming.
2.) You can import each body part on its own as Bloxrrey suggested.
3.) You can use Den_S’s Blender rig import/exporter plugin to export characters into Blender with all limbs split properly, and it also imports with Roblox studio’s rig attached to it so you can pose the character easily. Using the plugin is a little bit complicated at first, but there are tutorials online to learn how to use it as well as on the dedicated thread found here.
In response to @Bloxrrey -
You shouldn’t post this on the DevForum, it would be better on a Blender related forum. Since this is barely related to Roblox.
I would argue that this type of post belongs on the devforum because the solution to the problem directly relates to how Roblox studio deals with exporting to .obj files. Unless they know how Roblox studio works, anyone on a regular Blender resource dedicated to helping users troubleshoot their issues won’t be able to give solutions to this.