Hello Ray,
thank you for your build instructions. In the ouptut there was clearly
something really wrong because I ran gcc to link the mingw target which
can't work. But now it works and I had to add on more library:
-lcrypt32. I'm building against openssl 1.1.0 pre 6. Below, find my
build instructions in case someone has the same issue.

--
#!/bin/bash
# apt-get install git make gcc libx11-dev mingw-w64 libtool
export PATH=/usr/lib/ccache:$PATH
export CFLAGS='-Os'
# --enable-werror
export LIBCURL_COMMON_PARAMS="--enable-ipv6 \
--enable-sspi \
--disable-ares \
--disable-cookies \
--disable-manual \
--disable-versioned-symbols \
--disable-hidden-symbols \
--disable-shared \
--disable-manual \
--disable-libcurl-option \
--disable-ftp \
--disable-smb \
--disable-dict \
--disable-file \
--disable-gopher \
--disable-imap \
--disable-imaps \
--disable-pop3 \
--disable-pop3s \
--disable-ldap \
--disable-ldaps \
--disable-rtsp \
--disable-telnet \
--disable-tftp \
--disable-smtp \
--disable-smtps \
--with-gssapi \
--without-libidn \
--without-librtmp \
--without-libssh2 \
--without-gssapi \
--disable-unix-sockets \
--without-ca-bundle \
--without-zlib"
export OPENSSL_COMMON_PARAMS="no-shared no-asm no-ssl3 no-comp no-idea no-dtls no-hw no-dso no-err no-psk no-srp no-ec2m no-weak-ssl-ciphers -DOPENSSL_NO_HEARTBEATS"
set -e
build_mbedtls()
{
(
        cd mbedtls
        git reset --hard HEAD; git clean -f -x -d
        CC=i686-w64-mingw32-gcc AR=i686-w64-mingw32-ar LD=i686-w64-minggw32-ld CFLAGS="$CFLAGS" WINDOWS=1 make -j lib
        make DESTDIR=`pwd`/../local/win32/mbedtls install
        git reset --hard HEAD; git clean -f -x -d
        CFLAGS="$CFLAGS" make -j lib
        make DESTDIR=`pwd`/../local/linux/mbedtls install
)
}
build_openssl()
{
(
        cd openssl
        git reset --hard HEAD; git clean -f -x -d
        CC=/usr/bin/i686-w64-mingw32-gcc ./Configure --prefix=`pwd`/../local/win32/openssl mingw ${OPENSSL_COMMON_PARAMS}
        perl -p -i -e 's/-O3/-Os/ if /^CFLAG/' Makefile
        perl -p -i -e 's/-march=i486 // if /^CFLAG/' Makefile
        make depend
        make -j 8
        make install_sw
        perl -p -i -e 's/$/ -lgdi32 -lcrypt32/ if /^Libs:/' `pwd`/../local/win32/openssl/lib/pkgconfig/libcrypto.pc
        git reset --hard HEAD; git clean -f -x -d
        ./Configure --prefix=`pwd`/../local/linux/openssl linux-x86_64 ${OPENSSL_COMMON_PARAMS}
        perl -p -i -e 's/-O3/-Os/ if /^CFLAG/' Makefile
        perl -p -i -e 's/-march=i486 // if /^CFLAG/' Makefile
        make depend
        make -j 8
        make install_sw
        perl -p -i -e 's/$/ -ldl -lpthread/ if /^Libs:/' `pwd`/../local/linux/openssl/lib/pkgconfig/libcrypto.pc
)
}
build_wolfssl()
{
(
        cd wolfssl
        git reset --hard HEAD; git clean -f -x -d
        ./autogen.sh
        C_EXTRA_FLAGS="\
        -Wno-attributes \
        -Wno-unused-but-set-variable \
        -DFP_MAX_BITS=16384 \
        -DTFM_TIMING_RESISTANT \
        -DWOLFSSL_STATIC_DH \
        -DWOLFSSL_STATIC_RSA \
        " \
        ./configure --prefix=`pwd`/../local/linux/wolfssl \
        --disable-jobserver \
        --enable-sni \
        --enable-static \
        --enable-shared=no \
#        --enable-aesgcm \
#        --enable-alpn \
#        --enable-certgen \
#        --enable-des3 \
#        --enable-dh \
#        --enable-dsa \
#        --enable-ecc \
#        --enable-eccshamir \
#        --enable-fastmath \
#        --enable-opensslextra \
#        --enable-ripemd \
#        --enable-sessioncerts \
#        --enable-sha512 \
#        --enable-sslv3 \
#        --enable-supportedcurves \
#        --enable-testcert \
        make
        make install
)
}
build_curl_mbedtls()
{
(
        cd curl
        git reset --hard HEAD; git clean -f -x -d
        ./buildconf
        CC=i686-w64-mingw32-gcc ./configure CFLAGS="${CFLAGS}" \
                --without-ssl --with-mbedtls=`pwd`/../local/win32/mbedtls \
                --host=mingw32 \
                --prefix=`pwd`/../local/win32/mbedtls \
                $LIBCURL_COMMON_PARAMS
        make -j
        make install
        git reset --hard HEAD; git clean -f -x -d
        ./buildconf
        ./configure CFLAGS="${CFLAGS}"\
                --without-ssl --with-mbedtls=`pwd`/../local/linux/mbedtls \
                --prefix=`pwd`/../local/linux/mbedtls \
                $LIBCURL_COMMON_PARAMS
        make -j
        make install
)
}
build_curl_winssl()
{
(
        cd curl
        git reset --hard HEAD; git clean -f -x -d
        ./buildconf
        CC=i686-w64-mingw32-gcc ./configure CFLAGS="${CFLAGS}" \
                --without-ssl --with-winssl \
                --host=mingw32 \
                --prefix=`pwd`/../local/win32/winssl \
                $LIBCURL_COMMON_PARAMS
        make -j
        make install
)
}
build_curl_openssl()
{
(
        cd curl
        git reset --hard HEAD; git clean -f -x -d
        ./buildconf
        CC=i686-w64-mingw32-gcc ./configure CFLAGS="${CFLAGS}" \
                --with-ssl=`pwd`/../local/win32/openssl \
                --host=mingw32 \
                --prefix=`pwd`/../local/win32/openssl \
                $LIBCURL_COMMON_PARAMS
        make -j
        make install
        git reset --hard HEAD; git clean -f -x -d
        ./buildconf
        ./configure CFLAGS="${CFLAGS}" \
                --with-ssl=`pwd`/../local/linux/openssl \
                --prefix=`pwd`/../local/linux/openssl \
                $LIBCURL_COMMON_PARAMS
        make -j
        make install
)
}
build_curl_wolfssl()
{
(
        cd curl
        # git reset --hard HEAD; git clean -f -x -d
        # ./buildconf
        # CC=i686-w64-mingw32-gcc ./configure CFLAGS="${CFLAGS}" \
        #         --with-ssl=`pwd`/../local/win32/openssl \
        #         --host=mingw32 \
        #         --prefix=`pwd`/../local/win32/openssl \
        #         $LIBCURL_COMMON_PARAMS
        # make -j
        # make install
        git reset --hard HEAD; git clean -f -x -d
        ./buildconf
        ./configure CFLAGS="${CFLAGS}" \
                --without-ssl --with-cyassl=`pwd`/../local/linux/wolfssl \
                --prefix=`pwd`/../local/linux/wolfssl \
                $LIBCURL_COMMON_PARAMS
        make -j
        make install
)
}
rm -rf local
build_wolfssl
build_openssl
build_mbedtls
build_curl_mbedtls
build_curl_winssl
build_curl_openssl
build_curl_wolfssl
--
Cheers,
        Thomas
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