The claim "The Euclidean path integral converges but the Minkowski path integral does not" is in general unproven. The physicists' handwaving argument for this is usually little more than that the Minkowskian $\mathrm{e}^{\mathrm{i}S[q(t)]}$ oscillates around the unit circle in the complex plane, while the Euclidean $\mathrm{e}^{-S[q(t)]}$ is a real function that goes to zero as the value of the action goes towards $+\infty$, so the "only" challenge is to show that as $q(t)\to\infty$ (whatever that means), $S[q(t)]\to +\infty$ fast enough to ensure convergence, which is supposed to be "easier" than controlling the oscillation of the Minkowskian version in the complex plane.
In some sense this is true, as all rigorous constructions of the path integral I'm aware of construct a Euclidean path integral and then use the Osterwalder-Schrader reconstruction theorem to compute the Minkowskian n-point functions as analytic continuations of the Euclidean n-point functions, i.e. "Wick rotation" $t\mapsto \mathrm{i}t$ of the Euclidean n-point functions yields the Minkowksian n-point functions, but they never construct a Minkowskian path integral.
The canonical reference for the rigorous construction of Euclidean path integrals is "Quantum Physics - A functional integral point of view" by Glimm and Jaffe. They rigorously construct the path integral for 2-dimensional QFTs with polynomial interaction terms and for specific 3-dimensional theories. This involves more subtle constructions than the usual arguments in physics texts already at the level of free theories, see e.g. this answer of mine.
No general proof of the existence of the path integral for higher-dimensional theories is known in either the Euclidean nor the Minkowskian version, particularly not for theories 4-dimensional QFTs similar to the Standard Model. Producing such a proof would constitute a solution to the Yang-Mills millenium problem.