Extract files from a .exe file on Windows we can extract files from an .exe file pretty easily but I couldn't find any terminal command to do similar things. I imagine this is because some .exe are compressed in such way OS X cannot interpret. Did anyone find a way to do it? I can of course do it easily through a VM or on a Windows OS, but I like to know if there is an quick method that I am just not aware of.

Okay, I think I need to note this is not for compressed zip files that has an extension of exe.
Try the Keka program. It's free and on the website says it can extract EXEs 
Keka