(C/C++) How to generate executable file that can run on both Windows and Linux?

There is no way to have a single native executable compiled from C++ source that works on different platforms. I don't believe you that the same executable file is run on Windows and Linux, as you state in your second paragraph.

The simple answer is, is that you can't.

The PE (Windows) and ELF (Linux) binary executable formats are totally different.

Not to mention that a C/C++ Program requires linking to libraries that won't be available on either platform simultaneously.

However, you could use Wine on Linux to run the Windows executable providing it doesn't attempt exotic Windows specific calls.

Or you could choose to use a more "common" cross-platform language such as a CLI language (C#/IronPython/Java etc.) that .NET for Windows and Mono for linux/others supports.

Ok, kids.

Yes, you CAN write a multi-platform binary, but it's difficult. It's called a Fat Binary, and it used to common enough in the 1980's although I haven't seen it done in decades. https://en.wikipedia.org/wiki/Fat_binary

Basically, you compile the machine code for each platform you want to run on and then hand-link the code with different entry points. While the Wikipedia article merely describes packing different architectures into the same binary, its actually possible to make one binary that runs on different operating systems so long as the entry points for the operating systems don't collide.

Some executable formats were intentionally designed to allow this. For example, MZ, NE, LX and PE can be overlaid. Old OS/2 programs sometimes did this... they rarely contained an entire program for both operating systems, but when run on DOS would print a message telling you that you were using the wrong operating system for the program.

As far as Linux and Windows in one binary: While you can't do an ELF and PE, I believe it might be doable with a PIE or a COFF and a PE or COM. Older Linux will run COFF binaries, which PE is descended from, so it seems you might be able to create a universal binary if newer versions of Linux will still run these. I can't say for sure this would work, but it seems plausible.

Another caveat: Usually you need to put a jump in the code right at the beginning to skip past the other operating system's entry point, headers, etc. because you can't locate your code there (obviously).

The problem with this in modern computing is that most anti-virus software will incorrectly identify this as a virus. It used to be common that viruses would attack binaries by inserting such a jump at the beginning of an executable that jumped to the end of the binary, tacking their own code onto the end of the binary, then inserting another jump back to the main executable code. Since you need to do something more-or-less similar to support multiple platforms in one binary, most AV software will heuristically identify this as a virus and quarantine your executable.

So in short: YES it can be done for (some) combinations of platforms. It is not impossible, but you would have to be insane to do it.