This can be done via console for Windows 10/11 iso images (Not sure about 8/7, but leave any comment if it worked for you).
Start connecting your usb drive and type diskutil list to display all connected drives.
You'll see something like:

/dev/disk0 (internal):
   #:                       TYPE NAME                    SIZE       IDENTIFIER
   0:      GUID_partition_scheme                         500.3 GB   disk0
   1:                        EFI EFI                     314.6 MB   disk0s1
   2:                 Apple_APFS Container disk1         500.0 GB   disk0s2

/dev/disk1 (synthesized):
   #:                       TYPE NAME                    SIZE       IDENTIFIER
   0:      APFS Container Scheme -                      +500.0 GB   disk1
                                 Physical Store disk0s2
   1:                APFS Volume Macintosh HD            185.7 GB   disk1s1
   2:                APFS Volume Preboot                 47.1 MB    disk1s2
   3:                APFS Volume Recovery                512.8 MB   disk1s3
   4:                APFS Volume VM                      4.3 GB     disk1s4

/dev/disk2 (external, physical):
   #:                       TYPE NAME                    SIZE       IDENTIFIER
   0:     FDisk_partition_scheme                        *15.6 GB    disk2
   1:                 DOS_FAT_32 LALA                    15.6 GB    disk2s1

For my case, the usb drive was /dev/disk2. Knowing this, format your usb drive with:

diskutil eraseDisk MS-DOS "WINDOWS10" MBR disk2

where disk2 is the usb drive id known in the prior command and "WINDOWS10" is the volume label (to be used later).
Please double check this step, or you could delete all data in another drive.
Then mount your image with:

hdiutil mount your_windows_10_image.iso

the command will return the location of the mounted iso

/dev/disk3                                      /Volumes/CPRA_X64FREV_ES-MX_DV5

so finally copy all the files from the mounted iso to your usb drive:

cp -rpv /Volumes/CPRA_X64FREV_ES-MX_DV5/* /Volumes/WINDOWS10

Update:

Look closely the copied files, as if you see a message like:

cp: /Volumes/CPRA_X64FREV_ES-MX_DV5/sources/install.wim: File too large

that's because the install.wim file is larger than 4GB, too large for your just created FAT32 partition in your USB stick (back in the day I originally posted this answer, probably the file wasn't that big). In this case, you will need to slipt it and copy it with the Windows Imaging libraries. So, using Homebrew install them with:

brew install wimlib

then call after (clearly, replacing the volume folder names to yours):

wimlib-imagex split /Volumes/CPRA_X64FREV_ES-MX_DV5/sources/install.wim /Volumes/WINDOWS10/sources/install.swm 3000

and now you will have two or more files with a swm extension instead of wim, where they won't be larger than 3GB

-rwxrwxrwx  1 alter  staff   2.9G 26 Nov 01:03 /Volumes/WINDOWS10/sources/install.swm
-rwxrwxrwx  1 alter  staff   1.5G 26 Nov 01:08 /Volumes/WINDOWS10/sources/install2.swm

Use TransMac, which has a 15-day trial period and works flawlessly.

1. In the left pane, right click the USB Drive and select Format Disk for Mac

2. In the left pane, right click the USB Drive and select Restore with Disk Image

3. Point to your .dmg (or choose All Files to select an .iso) file and click Open.

It will take a few minutes depending on size of .dmg and speed of USB drive, but once done you can pop it into your mac, hold down the option key when turning on the mac and choose the USB drive.

Note: Links to instructions for other versions of OS X/macOS can found here.

User Josué Mpindi posted a question, where this answer was confirmed to work for macOS Sierra in a comment. Note that where necessary, you would need to substitute Sierra references for El Capitan in the instructions.

Note: A version of this answer, which uses macOS to create the USB flash drive OS X El Capitan installer, can be found here.

Using Windows to create an USB flash drive OS X El Capitan installer requires third party software beyond just TransMac. The steps below outline one possible method for creating an USB flash drive OS X El Capitan installer using Windows and other free third party tools.

Note: These instructions will not work for Yosemite. For the correct Yosemite instructions, see this answer.

1. Use Microsoft Edge (or some other web browser) to download the following installers to your Downloads folder. The file names are current as of September 22, 2022. If both 32 bit and 64 bit versions are available, the 64 bit version is given in the table.

   Product	Use	Installer	Type
   El Capitan 10.11†	Free for use on Mac computers	InstallMacOSX.dmg	Mac Disk Image
   7-Zip	Free	7z2201-x64.exe	Application
   TransMac	15 day free trial	tmsetup.zip	Compressed (zipped) Folder
   Paragon Partition Manager Community Edition 64bit	Free for personal and home use	Paragon-1081-FRU_WinInstallDemo_x64_17.9.1_000.exe	Application

   ^†If you get the message “InstallMacOSX.dmg can't be download securely”, then select “Keep”, as shown below.

   

2. Install all downloads except “El Capitan 10.11”. If you wish, the installed downloads can be uninstalled from the Windows Control Panel after use.

3. Use a 7-Zip File Manager application window to extract the OS X Install ESD folder and the InstallAssistant.icns file to your Downloads folder. From a File Explorer window, start by navigating to your Downloads folder. In this window, right click on the InstallMacOSX.dmg Mac disk image file, then select "7-Zip" > "Open archive". This should open a 7-Zip File Manager application window. In this window, right click on each file or folder in the order given in the table below, then select the corresponding action. When finished, close the 7-Zip File Manager application window.

   File or Folder	Action	Type	Comment
   Install OS X	Open	Folder
   InstallMacOSX.pkg	Open Inside *	Package File
   InstallMacOSX.pkg	Open	Folder
   InstallESD.dmg	Open	Mac Disk Image File
   OS X Install ESD	Copy To…	Folder	See footnote ‡
   OS X Install ESD	Open	Folder
   BaseSystem.dmg	Open	Mac Disk Image File
   OS X Base System	Open	Folder
   Install OS X El Capitan.app	Open	Folder
   Contents	Open	Folder
   Resources	Open	Folder
   InstallAssistant.icns	Copy To…	Apple Icon Image File	See footnote ‡

   ^‡The destination should be your Downloads folder. If this Downloads folder exists on a volume that is not NTFS formatted, then see this answer.

4. Insert a 16 GB or larger flash drive into an USB port. If prompted, you do not need to initialize the flash drive.

5. Open the TransMac application with Administrator privileges. (In other words, right click on the TransMac icon, then choose "Run as administrator" or "More" > "Run as administrator".) In the TranMac application window, take the following actions.

   • Select "Tools" > "Settings" from the pulldown menu. In the "General" tab of the "Settings" popup, select the same copy options as shown below.

     

     Select OK when finished.

   • Right click on the USB flash drive icon in the treeview pane, then select "Restore with Disk Image". In the "Restore Disk Image to Drive" popup , choose to "Open" the OS X Install ESD\BaseSystem.dmg Mac disk image file in your Downloads folder as the Disk Image to restore, then select the OK button. Next, select Yes in the "Last Warning!" popup.

6. Open the Paragon Partition Manager 17 CE application. Select to resize the partition with the Apple HFS volume on the USB flash drive to maximum size, as shown below. Next, select the "Change now" button. When finished, select the "Close" button.

   

   Next, select to change the volume label on this Apple HFS volume from "OS X Base System" to "Install El Capitan", as shown below. Next, select the "Change now" button. When finished, select the "Close" button.

   

   When finished, close the Paragon Partition Manager 17 CE application window.

7. In the existing TranMac window, take the following actions.

   • Select "Tools" > "Refresh Drive List" from the pulldown menu.

   • Navigate to root folder on the USB flash drive volume labeled Install El Capitan, as shown below.

     

   • In the listview pane, right click, then select "Copy Here", as shown below.

     

     Select to copy the OS X Install ESD\BaseSystem.chunklist and OS X Install ESD\BaseSystem.dmg files in your Downloads folder. Repeat to copy the InstallAssistant.icns file in your Downloads folder.

   • In the listview pane, right click on the InstallAssistant.icns file, then select "Rename". Change the name to .VolumeIcon.icns. When finished, the treeview and listview panes should appear as shown below.

     

   • Navigate to System\Installation folder on the USB flash drive labeled Install El Capitan, as shown below.

     

   • In the listview pane, right click on the Packages file, then select "Delete". When prompted, select the Yes button in the popup to confirm.

   • In the listview pane, right click, then select "Copy Here", as shown below.

     

     Select to copy the OS X Install ESD\Packages folder in your Downloads folder. (This may take a while to complete.) When finished, the treeview and listview panes should appear as shown below.

     

   • Close the TransMac window.

8. Use the File Explorer to delete the OS X Install ESD folder and InstallAssistant.icns file in your Downloads folder. If you wish, you can also delete the downloaded files. When finished, close the File Explorer window, then empty the Recycle Bin.

References

• How do I create El Capitan installer on a Catalina (or post-El Capitan) installed Mac for use on USB boot installer?
• TransMac Help
• Paragon Hard Disk Manager Version 17 User Manual
• Apple Disk Image Utilities
• HFSExplorer
• DMGExtractor
• dmg2img
• HFS+ for Windows
• Tar and Curl Come to Windows
• dd for Windows
• SuperDuper
• HOW TO QUICKLY CREATE A MACOS BOOTABLE USB ON WINDOWS 10