you need to install all the image type delegates that you want to use, jpg, png, tif etc
see
http://www.imagemagick.org/download/delegates/
but you may want to Google for more current versions
you can type
convert -list configure
and look at the line starting with DELEGATES to see what IM knows is installed.
I Installed quite a few manually on my Mac and my configuration shows:
DELEGATES bzlib fftw fontconfig freetype gs jpeg jng jp2 lcms lqr openexr png tiff x11 xml zlib
But you only need to install those you want to use frequently. For PDF you need ghostscript (gs) and possibly freetype. I am not too sure. But you likely want jpeg, png, tiff at least.
You may have to re-install IM afterwards. I am not sure. Try installing the delegates and then issue
convert -list configure
If they don't show up, then re-install IM.
I am not a unix expert and will defer to the IM folks for expert instructions.