For a hard drive to be able to be read and written to in both a PC and Mac computer, it must be formatted to exFAT or FAT32 file format. FAT32 has several limitations, including a 4 GB per-file limit. This is a file system limitation that affects both Mac's and PC's, and the only workaround is to format the drive to exFAT.
From: https://www.reddit.com/r/osx/comments/3q26am/el_capitan_formatted_usb_drives_dont_work_on/
The Disk Utility advanced options of El Capitan are hidden and you needed, first:
Quit Disk Utility.
Open the Terminal utility.
Run the following Command:
defaults write com.apple.DiskUtility advanced-image-options 1
Relaunch Disk Utility
And now, just format your USB with MBR Partition (Master boot record) and exFAT file System.
The USB now can mount in OSX & Windows.