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I did not see anywhere on http://mxe.cc that said it compiled Windows binaries?

You are right, the authors are carrying on the grand web tradition of making whole sites about how great "Foo" without ever saying what Foo is.

But it is difficult to imagine what is compiled by the MingGW toolchain other than Windows binaries.

Arguably the table entries "i686-w64-mingw32" and "x86_64-w64-mingw32" also explicitly name Windows, in a very cryptic, GNU-specific way.

If anyone wants to improve the website, open an issue on https://github.com/mxe/mxe or raise a pull against the gh-pages branch.

It's not very clear, but in Supported Toolchains, there is "Runtime: MinGW-w64."