It's important to clarify upfront: Any website claiming to do so is likely a scam, malware trap, or simply creating a non-functional wrapper.
Instead of converting the file, you must use tools that create a compatible environment for Windows software on macOS: How To Transform a Windows Exe Into A Mac Application convert exe to dmg online full
If you have a standalone EXE file (like a simple app or a portable game), you can "wrap" it into a Mac-compatible bundle using a compatibility layer. It's important to clarify upfront: Any website claiming