I should write a guide on this, but the short version of what you can do is run the games either directly with WINE, or use a patched version of WINE that will give you a near-identical Proton experience. The reason that's desirable is Proton has a lot of patches that are either on the way to upstream WINE, or might never make it because they are essentially hacks instead of stable code deserving of being in the upstream WINE project. But the end result is a lot of games are immediately playable at equal to or sometimes even better than Windows performance. Note that this can also be true with just the normal version of WINE you get from your Linux distro, depending on how new that is and the games you want to play.

Like RussianEngineer said, most emulators just have a default Linux version, and you're best off using that. If you're trying to play older games that were made for Windows, you can try to use Lutris (A game manager/launcher) + Wine-GE (a well-regarded custom wine). Using Lutris is really beneficial because once you set up the game, you can just launch it from the GUI. Sort of like Steam, come to think of it, but with a little elbow-grease applied.

https://github.com/GloriousEggroll/wine-ge-custom#installation is the custom Proton version. I always just do the "manual" route.

for outside of steam there's WINE, which is the basis of proton. proton is WINE but with extra patches to make it run the newest games better

for retro stuff i assume you mean emulators, most emulators have a linux version or at least there is a emulator for the console you want on linux

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