I was looking a solution for same problem, and finally found this link which was usefull for me. Please see the first response, not the last one, cause I got successfully installed mingw64 and running pyhon 64 bit version, (or in your case if you use Mingw32 bit version, you must download python 32 bit version also). Just don't forget edit Windows PATH environment variable to take account your mingw\bin location, then you must configure into Eclipse which libray you use and location following these steps:
Project->Properties->C/C++ Build->Settings->MinGW C++ Linker Libraries
In my case I use python 3.7 so in Libraries I put 'python37' without '-l', and in Library search path, the arbitrary path of python37.dll location, please see below. Then after successfull compiling I try o run the program, but the executable could not find the dll, so I simply copied the dll into same directory and finally got working (may be this is not the propoer solution but It works)
My config
I guess you'll like to use C++ & Python using OOP, so I leave you this link also that explains very well Creating a python object in C++ and calling its method