Для 64 бит

set(CMAKE_SYSTEM_NAME Windows)
set(CMAKE_SYSTEM_PROCESSOR x86_64)
set(BUILD_SHARED_LIBS:BOOL ON)

set(TOOLCHAIN_PREFIX x86_64-w64-mingw32)

set(CMAKE_C_COMPILER ${TOOLCHAIN_PREFIX}-gcc)
set(CMAKE_CXX_COMPILER ${TOOLCHAIN_PREFIX}-g++)
set(CMAKE_Fortran_COMPILER ${TOOLCHAIN_PREFIX}-gfortran)
set(CMAKE_RC_COMPILER ${TOOLCHAIN_PREFIX}-windres)

set(CMAKE_FIND_ROOT_PATH /usr/${TOOLCHAIN_PREFIX})

set(CMAKE_FIND_ROOT_PATH_MODE_PROGRAM NEVER)
set(CMAKE_FIND_ROOT_PATH_MODE_LIBRARY ONLY)
set(CMAKE_FIND_ROOT_PATH_MODE_INCLUDE ONLY)
set(CMAKE_FIND_ROOT_PATH_MODE_PACKAGE ONLY)

Для 32 бит

set(CMAKE_SYSTEM_NAME Windows)
set(CMAKE_SYSTEM_PROCESSOR i686)
set(BUILD_SHARED_LIBS:BOOL ON)

set(TOOLCHAIN_PREFIX i686-w64-mingw32)

set(CMAKE_C_COMPILER ${TOOLCHAIN_PREFIX}-gcc)
set(CMAKE_CXX_COMPILER ${TOOLCHAIN_PREFIX}-g++)
set(CMAKE_Fortran_COMPILER ${TOOLCHAIN_PREFIX}-gfortran)
set(CMAKE_RC_COMPILER ${TOOLCHAIN_PREFIX}-windres)

set(CMAKE_FIND_ROOT_PATH /usr/${TOOLCHAIN_PREFIX})

set(CMAKE_FIND_ROOT_PATH_MODE_PROGRAM NEVER)
set(CMAKE_FIND_ROOT_PATH_MODE_LIBRARY ONLY)
set(CMAKE_FIND_ROOT_PATH_MODE_INCLUDE ONLY)
set(CMAKE_FIND_ROOT_PATH_MODE_PACKAGE ONLY)