Any mouse with two buttons right-clicks on a Mac without setup. The others:

  • Trackpad: tap or click with two fingers. Turned on under System Settings → Trackpad → Secondary click, where a corner click is the alternative.
  • Magic Mouse: the whole top is one button; System Settings → Mouse → Secondary click → Click Right Side makes the right half right-click.
  • Keyboard: hold and click. This is how Mac manuals describe it.

The menu that appears is called the contextual menu, and it holds less than the Windows one: no Properties (that is Get Info, ⌘I), no Cut for files, and app-specific items at the bottom under Services and Quick Actions.