Can I setup auto-complete for git on Windows via cmd.exe?

You have to use some form of bash to get it to work, either git bash that comes with msysgit or some other bash (which you need to setup to use the autocompletion used in git bash). With cmd.exe you will have no luck.

Look at this as a sign for you to leave old rusty cmd.exe behind. Enter the light of bash! : )

Installing Clink seems to make this work by magic, verified in cmd, Console2, and ConEmu.

http://mridgers.github.io/clink/

UPDATE: To get ConEmu and clink to work properly with the more recent versions, it was necessary to install clink into the ConEmu folder. See https://github.com/mridgers/clink/issues/339 and https://github.com/Maximus5/ConEmu/issues/270 for more info.

For future readers, I have found that posh-git combined with Windows Terminal is a beautiful git experience.

This is powershell, not cmd.exe though.