On master (8c97780db8c9dd33efed134385573ba97e9cd165):
$ make -C depends HOST=x86_64-w64-mingw32 DEBUG=1
$ ./autogen.sh
$ CONFIG_SITE=$PWD/depends/x86_64-w64-mingw32/share/config.site ./configure
...
Options used to compile and link:
multiprocess = no
with wallet = yes
with gui / qt = no
...
Should be fixed by #18298.