We do not recommend storing your libraries and content on an external drive to be used by both a Mac and Windows computer. It may cause performance issues.
If you must use the same drive between a Mac and Windows computer, the drive must be formatted to the 'exFAT' format. Library loading times may suffer however and playback could glitch when using this drive format.
There are some applications which allow you to connect a NTFS (Windows default format) drive to a Mac computer. But we have received many reports of problems using these applications over the years.
For best results, your external drive should be formatted the same as your operating system's native format. On Windows, this format is NTFS. On Mac OS X, it's HFS+ (Mac OS Extended) for OS 10.12 and earlier and Apple File System (APFS) for OS 10.13 and later.