Reading analog "fast" data

I’ve a sensor that sends an anlog signal on a frequency I determine and I would like to read that data using my arduino uno. is there a way to read that data (just for saying- 0.5 MHz) .
(beside using a simple loop and delay - which doesn’t work properly because of penalties on the processor).
Thank you

A 500kHz sample rate is a big ask on a 16MHz processor with a slow ADC.

Can you be more specific and provide details?