Works now!
I followed the script XenOS posted, thank you very much. Maybe you should put it on wiki.
@Octocontrabass:
I have no idea As I said I followed XenOS script, so I didnt use --enable-multilib. My build environment is indeed i686-w64-mingw32. I have 3 applications in my msys2 installation I can run to setup a terminal with a build environment: msys2.exe, mingw32.exe and mingw64.exe. I used mingw32.exe so maybe thats the reason.
Thank you very much for your help!