Can I plug a Netgear Nighthawk Pro XR500 directly into my console?

It's more of the other way round, as the xr500 acts as router (and AP), while the console is the client connecting through it to get internet access - but, yes. You obviously can connect your console directly via ethernet to one of the 4 ethernet ports of your xr500 - this should always be faster and more reliable than using a wireless connection.

You have posted your message in the section of this community given over to Nighthawk WiFi Routers. (This is easily done, given Netgear's impenetrable community structure.)

You might get more help, and find earlier questions and answers about your hardware, in the appropriate section for your device. That's probably here:

Nighthawk Pro Gaming Routers - NETGEAR Communities

I will ask the Netgear moderator to move your message.