An Apple Disk Image. It is a digital container (similar to a ZIP or ISO file) used to package and distribute software for Mac.
It is to "convert" an EXE file into a DMG file and expect it to run on macOS. These two file formats serve entirely different purposes: exe to dmg converter online top
Since you cannot convert the files, you must use a compatibility layer or virtualization to run Windows software on macOS. 1. Compatibility Layers (No Windows Install Needed) An Apple Disk Image
Because the underlying code in an EXE is written for Windows, simply changing the "wrapper" to a DMG won't make it compatible with Mac's architecture. Online Tools: What to Watch Out For exe to dmg converter online top