You can use information_schema.TABLES, to generate the script:
set @db_schema = 'test';
set @alter_query = 'alter table `{table}` engine=innodb;';
select group_concat(replace(
    @alter_query,
    '{table}',
    replace(t.TABLE_NAME, '`', '``')
) separator '\n') as script
from information_schema.TABLES t
where t.TABLE_SCHEMA = @db_schema
  and t.ENGINE = 'MyISAM';
Then you need to copy the result and execute it.
Demo
Update
If you need to execute it in one run, you can define a stored procedure with a cursor on information_schema.TABLES and execute it:
drop procedure if exists tmp_alter_myisam_to_innodb;
delimiter //
create procedure tmp_alter_myisam_to_innodb(in db_name text)
begin
    declare done int default 0;
    declare tbl text;
    declare cur cursor for 
        select t.TABLE_NAME
        from information_schema.TABLES t
        where t.TABLE_SCHEMA = db_name
          and t.ENGINE = 'MyISAM';
    declare continue handler for not found set done = 1;
    open cur;
    fetch_loop: loop
        fetch cur into tbl;
        if done then
            leave fetch_loop;
        end if;
        set @stmt = 'alter table `{table}` engine=innodb;';        
        set tbl = replace(tbl, '`', '``');
        set @stmt = replace(@stmt, '{table}', tbl);
        prepare stmt from @stmt;
        execute stmt;
        deallocate prepare stmt;
    end loop;
    close cur;
end //
delimiter ;
call tmp_alter_myisam_to_innodb('my_db');
drop procedure tmp_alter_myisam_to_innodb;