Even better, you can do cross compiling with MinGW. So if your toolchain dosn't perform well on Windows, just use GCC as a cross compiler and build your stuff on a Linux or BSD machine. Then use Windows for testing the executable. (On smaller projects, you usually don't even need Windows for that, since Wine does the job as well.)
(Full disclosure: I'm the maintainer of a Free Software project that makes cross compiling via MinGW very handy: http://mingw-cross-env.nongnu.org/)