Where is SQLCMD.EXE in SQL Server 2014 Express?
Found this on Microsoft Connect:


  According to this page on MSDN
  http://msdn.microsoft.com/en-us/library/ms143547(v=sql.120).aspx ,
  sqlcmd.exe and bcp.exe are now in &lt; Install Directory >\Client
  SDK\ODBC\110\Tools\Binn


Indeed, sqlcmd.exe and bcp.exe are in that folder in my machine.

Make sure you installed Client SDK Tools.