Why does this regex not work on linux?

GNU find by default uses emacs regular expressions, you can change that type with -regextype option (see man find).

If you use -regextype posix-egrep your expression seems to work. You could then also probably reduce the pattern to ^.+(jpg|gif|exe)$

With emacs: find . -regex '.+\(jpg\|gif\|exe\)$' . See this section of emacs manual for those specific regex rules. You need to escape | and () for them not to be literal.

In emacs regexps (, | and ) are literal unless escaped, this is exactly the opposite of all other regular expression formats.

Your expression works as ^.+\.\(jpg\|exe\|gif\)$.