To my knowledge, the best MinGW distribution is provided by Stephan T. Lavavej (a Microsoft employee who works on the C++ team) and is available on his site. It contains mingw-w64, GCC and binutils, coreutils and several other libraries and command line utilities (including git). Installation simply requires extracting to any location and using the provided bat files to open a command prompt with a preset PATH.
Why not use WSL?¶
They serve different purposes. The MinGW distribution contains Windows ports of GCC, coreutils, etc. that run natively on Windows. On the other hand, WSL attempts to allow you to run native Linux binaries on Windows. WSL2 supposedly uses Hyper-V for virtualization.