MPEG - Video
MPEG is one of the basic file types File Juicer can extract from other files. MPEG can be embedded in QuickTime files and extracted without transcoding.
MPG files were once common on web pages and ended up in browser cache files and web archives. Most sites have since switched to MP4/H.264, so this is now rare.
MPEG itself does not contain other file types.
False positives
MPEG files have a very small header, and random data can resemble one. File Juicer will occasionally detect MPEG where none exists. Drop the extracted file onto VLC or QuickTime Player to verify it is a valid MPEG file.
Converting MPEG
HandBrake is a free tool for converting MPEG and other video formats to MP4 on macOS.