EXE files are Windows executables. macOS uses a completely different binary format (Mach-O), so it fundamentally cannot run EXE files. But there are three ways around this, depending on how much Windows compatibility you need.
The lightest option is Wine (or its user-friendly wrapper, CrossOver). Wine is a compatibility layer that translates Windows system calls to macOS equivalents in real time — no Windows installation required. CrossOver ($24, with a free trial) wraps Wine in a polished interface and maintains compatibility databases for thousands of applications. Simple Windows apps (utilities, older games, many business tools) run well. Complex software with heavy DirectX or kernel driver requirements won't.
The middle option is a virtual machine. Parallels Desktop (Mac, paid) or UTM (Mac, free) run a full copy of Windows inside macOS. You install Windows in the VM, then run any EXE natively within that Windows environment. This works with virtually all Windows software. On Apple Silicon Macs, you'll run Windows 11 ARM, which handles most x86 applications through Microsoft's built-in translation.
The heavyweight option is Boot Camp — but this only works on Intel Macs. It installs Windows as a separate boot partition, giving native performance. Apple Silicon Macs (M1/M2/M3/M4) don't support Boot Camp.
Before going through any of this, check if the software has a Mac version. Most modern applications are cross-platform, and the Mac version will always perform better than a compatibility workaround.