Can SQL Server's BCP output to multiple gzip compressed files? I've been looking into bcp.exe on SQL Server and am wondering if its abilities are limited to what the documentation actually says... 

Is there no native way to output to multiple files? 

And regardless of being able to output to multiple files or not, can it output to at least compressed files?
Not natively with BCP, but if you define SQL Server Integration Services as native (after all, it's free in the box with SQL Server), then use SSIS instead. You can even output to compressed files with third party add-ons for SSIS.