.EXE games do not work out of the box but because of existing overall backwards compatibility support and the effort of some enthusiasts, they are still the most likely to work compared to anything else.
For Win32 pretty much anything can be made to work with Windows' own compatibility settings, dgVoodoo2 (for games) and minor tweaks. I have many applications and games from the 90s and 2000s, both in digital and physical form and the only issue i face to make them run in modern Windows 10 is the DRM some games in the mid-2000s had (i avoid anything with DRM nowadays).
For 16bit Windows on 64bit OTVDM (https://github.com/otya128/OTVDM) should make most stuff work (especially games). This is also great for installers.
For DOS, DOSBox for games and vDos for applications should run pretty much anything better than when they were new. DOSBox also works if you have Windows 3.1 installed. Yeah these aren't exactly native (vDos does try to use some OS services though) but the UX is pretty much the same with what you'd get even back in the 16bit Windows days when trying to run a DOS application.