Required software:
(Something similar should work on your favorite system/package manager as well. Know your distro!)
Install git, GNU stuff, compiler collection, SDL2
sudo apt install git coreutils findutils build-essential libsdl2-2.0 libsdl2-dev
Optionally (not necessary on most modern systems) install a sufficiently recent C++ compiler (instructions specific to Ubuntu based distros - 14.04/16.04)
sudo add-apt-repository ppa:ubuntu-toolchain-r/test
sudo apt update
sudo apt install g++-7 -y
Download cygwin.
In the installer go "Next" until presented with package selection screen. There change view to full, using the search find packages git, make, mingw64-x86_64-gcc-g++, mingw64-x86_64-SDL2
(or same with i686 if you want to build for 32bit systems) and mark them for installation by double clicking the entry in the New column, which will change from "Skip" to a specific version number. Proceed with the installation.
Throw all your money at it and pray to apple? ... erm, I mean all the same tools should be available, brew them or something, I don't know.