Mario.exe is the main antagonist of the Friday Night Funkin' mod, Mario's Madness. Horror Mario is portrayed in the mod as Mario.exe being a demonic entity residing in a cartridge. The original artist of Mario.exe(Shadow-Shana) is OK with their art being used, as long as credit is given. However, it sadly often isn’t. Although it is popularly called Mario.exe, its real name seems to be Horror Mario (name given by its creator) since it is always called that way. Horror has no backstory, as it was only created to be a piece of art, while the mod, it is made clear, is a demonic entity. Mario.exe is obviously based on the art of Super Horror Mario and apparently on Coolrash's Mario.exe due to the poisonous mushrooms in its mechanics. Horror Mario is most often interpreted as Mario.EXE due to Sonic.EXE's fame for its similarities, however, the art was released months before Sonic's infamous creepypasta and the motives for its creation were different. A similar art piece was made by the same artist called Super Horror Peach, more commonly dubbed Peach.EXE. It’s likely she is a partner to Mario.EXE, as the description reads "Every Super Horror Mario needs a Super Horror Princess Peach!" Peach.EXE is likely coming to the mod. Originally, Mario.exe and GB were the same entity before Marco Antonio decided to change it. Possibly in the mod, they are still the same person outside of GB history. Oddly, he wields a butcher knife in this mod rather than a kitchen knife like in the original artwork.

More facts here: https://fridaynightfunking.fandom.com/wiki/Friday_Night_Funkin%27:_Mario%27s_Madness