I have created https://github.com/SWI-Prolog/docker-swipl-build-mingw, a docker that can be used to (cross) compile SWI-Prolog for Windows (32 bit and 64 bit). See the README.md for usage.
This automates the hugely complex process of getting all dependencies in place and build the system. It also works around a bug in the Ubuntu MinGW cross compilation suite that blocks PGO optimized compilation by using Fedora as the Linux base image.
Only tested on Ubuntu as host, but in theory this should allow anyone with Docker to build the Windows binaries from the sources with a simple command (and a lot of patience to build the initial Docker image).