Code first migration error "Implicit conversion from data type nvarchar(max) to varbinary(max) is not allowed"

SQL Server can't directly change a string to a binary, so its asking that you convert the data. With respect to Code First Migrations, I would drop the AlterColumn statements from the DbMigration, and instead manually write:

AddColumn("dbo.TableName", "ColumnNameTmp", c => c.Binary());
Sql("Update dbo.TableName SET ColumnNameTmp = Convert(varbinary, ColumnName)");
DropColumn("dbo.TableName", "ColumnName");
RenameColumn("dbo.TableName", "ColumnNameTmp", "ColumnName")

And the reverse in the Down method, if desired. (the above is pseudocode, forgive any syntax errors)

It can not change to column data type, Just try to delete or comment the column from your model add migration and update database, and in the second step add the column with byte[] data type and add migration igen. unfortunately if you hade any data in that column you will lose them.

    public class ExampleModel
{
    [Key]
    public int Id { get; set; }
    public string Code { get; set; }
}

comment the column and add migration and update database

    public class ExampleModel
{
   [Key]
   public int Id { get; set; }
   //public string Code { get; set; }
}

and then add the column with byte[] data type

    public class ExampleModel
{
    [Key]
    public int Id { get; set; }
    public Byte[] Code { get; set; }
}

and now add migration and then update database.