This is a pretty general question but I thought I would give you some thoughts on how I would initially approach this.
For your models, you could start with something like this:
GameVO (id, home team id (TeamVO), away team id (TeamVO), location id, schedule_id)
TeamVO (id, mascot, name, hometown, etc.)
LocationVO (id, city, state, stadium name, etc.)
PlayerVO(id, position, fname, lname, number, team_id, array_of_stat_ids)
StatVO(id, game_id, player_id, base_hits, home_runs, rbi, strike_out, etc)
ScheduleVO(id, location_id, home_team_id, away_team_id, play_time)
For the text file, I would recommend becoming comfortable with Regular Expressions. Regular expressions allow you to read in strings of data and extract data based on the patterns that you specific. Your text file will either be a fixed-length text-file, comma separated values (CSV), or some other format (first make sure you understand how your data is structured). Once you have identified the patterns that you want to extract, create your regex to match on every line and extract the appropriate values. Here is a good place to practice with your Regex
Finally, when seriallizing your objects take a look at seriallizers like XStream for .NET. I liked the Java version of this library as it allows you to quickly turn java objects into XML/json and back again.