As far as I know there aren't any packages for it in MXE so I've got to setup my own compile.
According to the docs
If you use the Autotools, all you have to do is:
./configure --host=i686-w64-mingw32.static
make
And the other methods (modifying makefile) always end in this
/root/mxe/usr/lib/gcc/i686-w64-mingw32.static/5.1.0/../../../../i686-w64-mingw32.static/lib/../lib/libcrypto.a(c_zlib.o):c_zlib.c:(.text+0x5c): undefined reference to inflate'
/root/mxe/usr/lib/gcc/i686-w64-mingw32.static/5.1.0/../../../../i686-w64-mingw32.static/lib/../lib/libcrypto.a(c_zlib.o):c_zlib.c:(.text+0xdf): undefined reference to
deflate'
/root/mxe/usr/lib/gcc/i686-w64-mingw32.static/5.1.0/../../../../i686-w64-mingw32.static/lib/../lib/libcrypto.a(c_zlib.o):c_zlib.c:(.text+0x13d): undefined reference to inflateEnd'
/root/mxe/usr/lib/gcc/i686-w64-mingw32.static/5.1.0/../../../../i686-w64-mingw32.static/lib/../lib/libcrypto.a(c_zlib.o):c_zlib.c:(.text+0x159): undefined reference to
deflateEnd'
/root/mxe/usr/lib/gcc/i686-w64-mingw32.static/5.1.0/../../../../i686-w64-mingw32.static/lib/../lib/libcrypto.a(c_zlib.o):c_zlib.c:(.text+0x1c4): undefined reference to inflateEnd'
/root/mxe/usr/lib/gcc/i686-w64-mingw32.static/5.1.0/../../../../i686-w64-mingw32.static/lib/../lib/libcrypto.a(c_zlib.o):c_zlib.c:(.text+0x1cf): undefined reference to
deflateEnd'
/root/mxe/usr/lib/gcc/i686-w64-mingw32.static/5.1.0/../../../../i686-w64-mingw32.static/lib/../lib/libcrypto.a(c_zlib.o):c_zlib.c:(.text+0x26b): undefined reference to inflateInit_'
/root/mxe/usr/lib/gcc/i686-w64-mingw32.static/5.1.0/../../../../i686-w64-mingw32.static/lib/../lib/libcrypto.a(c_zlib.o):c_zlib.c:(.text+0x2e0): undefined reference to
deflateInit_'
/root/mxe/usr/lib/gcc/i686-w64-mingw32.static/5.1.0/../../../../i686-w64-mingw32.static/lib/../lib/libcrypto.a(c_zlib.o):c_zlib.c:(.text+0x57a): undefined reference to deflate'
/root/mxe/usr/lib/gcc/i686-w64-mingw32.static/5.1.0/../../../../i686-w64-mingw32.static/lib/../lib/libcrypto.a(c_zlib.o):c_zlib.c:(.text+0x658): undefined reference to
zError'
/root/mxe/usr/lib/gcc/i686-w64-mingw32.static/5.1.0/../../../../i686-w64-mingw32.static/lib/../lib/libcrypto.a(c_zlib.o):c_zlib.c:(.text+0x846): undefined reference to deflate'
/root/mxe/usr/lib/gcc/i686-w64-mingw32.static/5.1.0/../../../../i686-w64-mingw32.static/lib/../lib/libcrypto.a(c_zlib.o):c_zlib.c:(.text+0x8d8): undefined reference to
zError'
/root/mxe/usr/lib/gcc/i686-w64-mingw32.static/5.1.0/../../../../i686-w64-mingw32.static/lib/../lib/libcrypto.a(c_zlib.o):c_zlib.c:(.text+0x940): undefined reference to deflateInit_'
/root/mxe/usr/lib/gcc/i686-w64-mingw32.static/5.1.0/../../../../i686-w64-mingw32.static/lib/../lib/libcrypto.a(c_zlib.o):c_zlib.c:(.text+0xa5e): undefined reference to
inflate'
/root/mxe/usr/lib/gcc/i686-w64-mingw32.static/5.1.0/../../../../i686-w64-mingw32.static/lib/../lib/libcrypto.a(c_zlib.o):c_zlib.c:(.text+0xac8): undefined reference to zError'
/root/mxe/usr/lib/gcc/i686-w64-mingw32.static/5.1.0/../../../../i686-w64-mingw32.static/lib/../lib/libcrypto.a(c_zlib.o):c_zlib.c:(.text+0xb53): undefined reference to
inflateInit_'
collect2: error: ld returned 1 exit status
Makefile:771: recipe for target 'tests.exe' failed
make: *** [tests.exe] Error 1
There isn't currently a package for SECP256k1 for mxe (and I don't expect there to be one in the near future) so I was hoping for guidance here.