I am planning to use the BCP utility for bulk import & export from SQL Server. So just want to know if is there a compatibility matrix of versions between BCP Utility & SQL Server.
There is not and there is not need: bcp will be fine.
Only be careful with "Native Data File Support". From documentation:
In SQL Server, the bcp utility supports native data files compatible with SQL Server versions starting with SQL Server 2000 (8.x) and later.
And, of course, you must have compatible data types.
I did this a ton of times.