For some reason, I compile engine 4.19 from source and encountering this issue.
Now I have solve it, here is what I do.
1.Download OpenSSL 1.0.2g tar.gz from OpenSSL website, put openssl-1.0.2g.tar in ‘Engine\Source\ThirdParty\OpenSSL\build\1.0.2g’ ;
2.Install perl and 7-zip;
3.Make sure the nmake system path in my compute is correct，if not, refer ‘Program Files (x86)\Microsoft Visual Studio\2017\Professional\VC\Auxiliary\Build\vcvarsall.bat’ to execute;
4.Run Cmd, cd ‘Engine\Source\ThirdParty\OpenSSL\build’, Excecute ‘uncompress_and_patch.bat 1.0.2g’ and ‘build_openssl_win_all.bat 1.0.2g’, wait it compile, than you will see the lib in ‘Engine\Source\ThirdParty\OpenSSL\1.0.2g\lib\Win64\VS2015’ (OR you can follow the README in ‘Engine\Source\ThirdParty\OpenSSL\build’)
hope it helpful to you~