:!!echo command not working from sqlcmd
SQLCMD

Next versions do NOT work:


Version 14.0.2027.2 NT (from: COMMAND LINE UTILITIES FOR MICROSOFT SQL SERVER 2017)
Version 15.0.1300.359 NT (from: SQL Server 2019 (15.x))


This version works:


Version 11.0.2100.60 NT x64 (from: Microsoft SQL Server 2012 Command Line Utilities)


(on my computer found in 'C:\Program Files\Microsoft SQL Server\110\Tools\Binn\SQLCMD.EXE') 

This was tested by creating a file sqlcmd.txt which contains 1 line (:!! dir), and checking if this command was executed when performing sqlcmd -i sqlcmd.txt.

I think the version 11 that works can be downloaded here, but do NOT ask why this is named 'Command Line Utilities 13 for SQL Server'), and from a logfile i created during install is installen ina folder named 110....