Connor MacLeod is known to have used only two swords during his centuries-long life. A Scottish Longsword (aka "The MacLeod Longsword") and Ramirez's Katana.
The MacLeod Longsword
This MacLeod Family longsword most notably has "MacLeod" inscribed on the unique arched guard.
It is never revealed where or when exactly Connor got the sword. Though it is known that he used it from the time of his first battle with the Kurgan in 1536 (while battling Clan Frazer), up until the death of his wife Heather MacLeod in 1590. He left it at her burial site to serve as a headstone. He then set out, taking Ramirez's katana with him in its stead as he left his homeland.
Following the breaking of his sword at the hands of Kane, Connor would revisit Heather's grave and the sword once again in 1995. Though worn by time, it was still where he had left it.
The Ramirez Katana
Connor took the sword of Juan Sánchez Villa-Lobos Ramírez, which he had presumably kept since his friend and mentor's death in 1547 (at the hands of the Kurgan).
The sword was totally unique: A steel katana with a carved dragons head ivory handle and an ornate gold hilt. Even the solid red sheath was adorned with gold. Brenda Wyatt remarked the complexity of the blade's forging was centuries ahead of its time.
It was made by the legendary sword smith, Masamune, as a wedding gift to Ramirez when he married his daughter Shikiko. Ramirez cherished the sword (just as he'd cherished his wife), remarking that the weapon was "one of a kind, like his daughter [Shikiko]."
During The Gathering in 1985, Connor used the sword in battle, successfully defeating the Kurgan (in their final battle) and claiming the prize. The sword stayed in his possession for the next ten years, until the blade was shattered by the resurfaced Immortal Kane. Connor returned to Scotland, where he managed to forge a new blade with the help of Dr. Alex Johnson. She provided him with a block of high-carbon steel (forged by Connor's second mentor, Nakano, in the 16th century)
Connor would go on to wield the sword in battle once more in 1995, where he ultimately defeated Kane in their climactic final battle.
Movie replicas collection of different stores also contains the Sword of Connor Macleod.