Converting exe file to dmg file

does not compute

exe is a windows(dos) executable file as in a program / app

dmg is a container which can contain 1 to many files

sure a dmg could contain an exe file but it would not mean that the mac could run it

if you just wish to do so anyway then read Create a disk image using Disk Utility on Mac - Apple Support

scroll to section "Create a disk image from a folder or connected device"

but if you really looking to run a windows program then read

5 ways to run Windows apps on MacOS - and 2 are free | ZDNET

These are two different things. An exe file is an executable DOS/Windows file. A dmg is a Mac disk image.

See, for example:

https://en.wikipedia.org/wiki/.exe

https://en.wikipedia.org/wiki/Apple_Disk_Image

What are you trying to achieve? Do you want to run a Windows program on a Mac computer? This may or may not be possible, depending on the exact Mac computer model and macOS version, and would require special software.

EDIT:

Just noticed that Rudegar had posted a reply while I was composing my message.

You can't directly; while it can be put inside a dmg file(the Disk Utility will create these), this doesn't convert or change the original format of it or anything else.

If you're trying to install software, check for a Mac version or run it through Windows or CrossOver Mac.

(263920)

There used to be self expanding zip files with a .exe extension.

on a Mac, if you renamed the file .zip, and used the unzip command on it, you could expand the file.

If this is your case, then expand the .zip file and create a .dmg with the contents.