Since direct online conversion isn't possible, you should use one of the following proven methods to run your Windows files on a Mac. 1. Use Wine or WineBottler (Free)
It is to simply "convert" an .exe file to a .dmg file online or offline because they are fundamentally different. An .exe file contains code written specifically for Windows , while a .dmg file is a disk image format for macOS . Changing the file extension or wrapping it in a disk image will not make the software run on a Mac. convert exe to dmg online full