GNU Make even comes with a vcproj file for building a native binary with Visual Studio. Worked fine for me. Building it with Guile support though is difficult, but fortunately Eli Zaretskii provides native binaries through his ezwinports, and they worked pretty much flawlessly for me. Of course you will usually need a shell to execute recipes, but Make itself runs natively. For more information, see README.W32 in the sources.
If you just want a Make, there is [2] which can be installed separately and is part of the GNUWin32 collection.
[1] https://www.msys2.org/ [2] http://gnuwin32.sourceforge.net/packages/make.htm
I had the opposite problem of wanting to develop some stuff for Windows from a Linux environment, and I settled on running a linux VM and copying binaries over by scping to WSL, which works reasonably well.