In my case, I kept ignoring the instructions that very explicitly tell you to use a terminal on Mac OS, because it looked like it was unzipping correctly:
On Linux or Mac OS X you can unzip ngrok from a terminal with the following command. On Windows, just double click ngrok.zip to extract it.
unzip /path/to/ngrok.zip
However, as soon as I tried running the above command in my terminal, it worked perfectly fine!