I've been able to build 64-bit Emacs on Windows with MSYS2. Generally, things went smoothly, except for a couple of small problems.
This fragment in nt/INSTALL.64: Note also that we need to disable Imagemagick because Emacs does not yet
support it on Windows.
./configure --prefix=/c/emacs/emacs-25 --without-imagemagick
is entirely correct, but confusing if you happen to read it too quickly or carelessly (as I did). The note talks about Imagemagick, but the sample command also includes the setting of PKG_CONFIG_PATH (the only time that pkg-config is mentioned in the file). So my brain dismissed the PKG_CONFIG_PATH line, and went straight for the "./configure [...] --without-imagemagick" part. That didn't end too well.
I also used msys2_shell.cmd (though nt/INSTALL.W64 clearly says not to) and got into trouble with the guessed build machine. To be fair, I was misled because nt/INSTALL.64 talks about mingw64_shell.bat, and that file doesn't exist anymore, at least on the default MSYS2 setup you get by following our suggested step-by-step guide. There are new executables mingw32.exe and mingw64.exe, and using the latter I finished the build without further trouble. But surely nt/INSTALL.64 should be fixed to refer to the new launchers, or perhaps include a pointer to https://sourceforge.net/p/msys2/wiki/Launchers/