tr command - how to replace the string "\n" with an actual newline (\n)

The Perl solution is similar to the sed solution from sampson-chen:

perl -pe 's/\\n/\n/g'

Examples:

Input file with literal \n (not newlines):

$ cat test1.txt          
foo\nbar\n\nbaz

Replace literal all occurrences of \n with actual newlines, print into STDOUT:

$ perl -pe 's/\\n/\n/g' test1.txt
foo
bar

baz

Same, change the input file in-place,saving the backup into test1.txt.bak:

$ perl -i.bak -pe 's/\\n/\n/g' test1.txt

The Perl one-liner uses these command line flags:
-e : Tells Perl to look for code in-line, instead of in a file.
-p : Loop over the input one line at a time, assigning it to $_ by default. Add print $_ after each loop iteration.
-i.bak : Edit input files in-place (overwrite the input file). Before overwriting, save a backup copy of the original file by appending to its name the extension .bak.

SEE ALSO:
perldoc perlrun: how to execute the Perl interpreter: command line switches
perldoc perlre: Perl regular expressions (regexes)

Here's how to do it with sed:

sed 's/\\n/\n/g'

Example usage:

To replace all occurrences of \n in a file in-place:

sed -i 's/\\n/\n/g' input_filename

To replace all occurrences of \n through a pipe, and save into another file

cat file1 file2 file3 file4 | sed 's/\\n/\n/g' > output_file