There are plenty of more links I could give out from my search history, but that's, not the point. The point was I tried everything from changing my AxtiveX settings to changing my compatibility settings, to reinstalling TestExecute and TestComplete. A lot of going nowhere.
I had opened the original (in the builds folder for Jenkins) and realized it was fine so I narrowed it down to the copy.
Even though you can't read much when you open an MHT file in a text editor, I decided to do a file compare to see if I could see anything.
There was a SUB character at the end of the corrupted file. I had no idea how that got there so I did some more digging and found something about Copy
The arrow is a CTRL-Z ascii char that is appended by the COPY command when used to concatenate files with the + option.
To prevent COPY to append the CTRL-Z character, use COPY /B for a binary copy.
Even though this is for concatenating files (and I wasn't), the point is COPY /B should be used to prevent this from happening.
I know this isn't specifically related to TestComplete, but I really hope I can save 1 person out there from wasting half a day trying to figure out this issue. Getting lost down a rabbit hole that has nothing to do with your issue, in the end, can be really frustrating.