Don't know if that's exactly what you're looking for, but I've just made a small tutorial on how to cross-compile SDL2 projects from Linux to Windows. Dead Link
Basically, install MinGW and set your compilation flags to the following (Makefile
example):
# Where your MinGW SDL is installed
SDL_ROOT_DIR = /usr/x86_64-w64-mingw32
CFLAGS = `$(SDL_ROOT_DIR)/bin/sdl2-config --cflags`
-Wall -Wextra
CXXFLAGS = `$(SDL_ROOT_DIR)/bin/sdl2-config --cflags`
-Wall -Wextra
LDFLAGS = `$(SDL_ROOT_DIR)/bin/sdl2-config --libs` \
-lSDL2_image -lSDL2_ttf -lSDL2_mixer -lSDL2_gfx \
-static-libgcc -static-libstdc++
In-depth explanations here and here.