You have a .dmg file that contains a Windows program wrapped to run on macOS. This is the closest possible answer to “EXE to DMG converter,” but it requires manual effort and is not a one-click conversion. Downloading a tool named “EXE to DMG Converter
Exe File To Dmg File Converter For Mac Free Download
Downloading a tool named “EXE to DMG Converter Free Download” from untrusted sites (e.g., Softonic, CNET Download.com, or pop-up ads) exposes you to:
Porting Kit is a powerful free tool that automates the process of setting up "wrappers" for Windows programs, particularly games.
You have a .dmg file that contains a Windows program wrapped to run on macOS. This is the closest possible answer to “EXE to DMG converter,” but it requires manual effort and is not a one-click conversion.