I figured out
/mnt/mxe/usr/bin/i686-w64-mingw32.static-ld: cannot find -lboost_system-mgw49-mt-s-1_57
/mnt/mxe/usr/bin/i686-w64-mingw32.static-ld: cannot find -lboost_filesystem-mgw49-mt-s-1_57
/mnt/mxe/usr/bin/i686-w64-mingw32.static-ld: cannot find -lboost_program_options-mgw49-mt-s-1_57
/mnt/mxe/usr/bin/i686-w64-mingw32.static-ld: cannot find -lboost_chrono-mgw49-mt-s-1_57
collect2: error: ld returned 1 exit status
Turns out this is from developers deleting things from the repo to make your life harder. With this issue, you are likely missing the share, contrib, and doc folders.
This one is still an issue for me:
/mnt/mxe/usr/bin/i686-w64-mingw32.static-ld: cannot find -lsecp256k1