I am using ming, and it works for cross-compiling. When using SFML for ubuntu it works with no problem too. When I combine it:
i586-mingw32msvc-g++ -I/usr/include -std=c++11 main.cpp -o main.exe -lsfml-system -lsfml-window -lsfml-audio -lsfml-graphics
error I got is:
In file included from /usr/include/wchar.h:27:0,
from /usr/lib/gcc/i686-w64-mingw32/4.9-win32/include/c++/cwchar:44,
from /usr/lib/gcc/i686-w64-mingw32/4.9-win32/include/c++/bits/postypes.h:40,
from /usr/lib/gcc/i686-w64-mingw32/4.9-win32/include/c++/iosfwd:40,
from /usr/lib/gcc/i686-w64-mingw32/4.9-win32/include/c++/ios:38,
from /usr/lib/gcc/i686-w64-mingw32/4.9-win32/include/c++/ostream:38,
from /usr/include/SFML/System/Err.hpp:32,
from /usr/include/SFML/System.hpp:34,
from /usr/include/SFML/Window.hpp:32,
from /usr/include/SFML/Graphics.hpp:32,
from main.cpp:1:
/usr/include/features.h:398:23: fatal error: gnu/stubs.h: No such file or directory
#include <gnu/stubs.h>
^
compilation terminated.