I truthfully really wanna swap to Linux but I have a few concerns.

I could have probably Googled a lot of what I am about to say but screw it, I have been a Windows user for YEARS and I've heard the conversation of Linux a million times hearing how its a lot more on the side of privacy. While I do wanna swap, I feel as if I can't because I am worried about losing a lot of my favorite games and playing them, my main question is if there is maybe a slight work around to this? Does it depend on the certain version of Linux I use? I just wanna make sure before I make a final decision