GMT is available on Windows, macOS, Linux and FreeBSD. Source and binary packages are provided from GitHub:
GSHHG 2.3.7: The Global Self-consistent, Hierarchical, High-resolution Geography Database
DCW 2.1.1: The Digital Chart of the World Data [requires GMT 6.1.1 or later]
Note: You may also get GMT and its support data from any of the GMT FTP mirrors. Try the site that is closest to you to minimize transmission times.
See the install guide for instructions and to make sure you have all required dependencies installed.
Alternatively, you can build GMT from source by following the building guide.