Short answer
In a contact-based segment, filter on the associated Company object and its properties. By default the filter uses any associated company; you can restrict it to the primary company or a custom association label. HubSpot's KB says filtering segments by association labels needs Professional or Enterprise.
1. Association filters
The filters panel in my demo portal has an association section.
2. Any vs primary
A contact linked to two companies matches "any" if either company fits. Use primary when only the main employer should count.