EXE is the official executable file format used for Windows to signify that they only run on Windows platforms, and to serve as a security feature. By default, attempting to run an EXE file on a Mac or Linux OS will only show an error notification.
However, we found EXE files in the wild delivering a malicious payload that overrides Mac’s built-in protection mechanisms such as Gatekeeper. This routine evades Gatekeeper because EXE is not checked by this software, bypassing the code signature check and verification since the technology only checks native Mac files. While no specific attack pattern is seen, our telemetry showed the highest numbers for infections to be in the United Kingdom, Australia, Armenia, Luxembourg, South Africa and the United States.
Source: Trend Micro