Everything is done.
First thing I create the CMake toolchain for cross compile
# Sample toolchain file for building for Windows
set(CMAKE_SYSTEM_NAME Windows)
#set(TOOLCHAIN_PREFIX x86_64-w64-mingw32)
#or 32 bit
set(TOOLCHAIN_PREFIX i686-w64-mingw32)
# cross compilers to use for C, C++
set(CMAKE_C_COMPILER "/usr/local/Cellar/mingw-w64/8.0.0_3/bin/${TOOLCHAIN_PREFIX}-gcc")
set(CMAKE_CXX_COMPILER "/usr/local/Cellar/mingw-w64/8.0.0_3/bin/${TOOLCHAIN_PREFIX}-g++")
# modify default behavior of FIND_XXX() commands
set(CMAKE_FIND_ROOT_PATH_MODE_PROGRAM NEVER)
set(CMAKE_FIND_ROOT_PATH_MODE_LIBRARY ONLY)
set(CMAKE_FIND_ROOT_PATH_MODE_INCLUDE ONLY)
Then I use CMake to configure SFML source files
cmake ./ -DCMAKE_TOOLCHAIN_FILE=Path/to/toolchain/WindowsTool.cmake
Then just make it and compile
/usr/local/Cellar/mingw-w64/8.0.0_3/bin/i686-w64-mingw32-g++ main.cpp -DSFML_STATIC -static -L SFML-2.5.1-2/extlibs/libs-mingw/x86 -L SFML-2.5.1-2/lib -o test.exe -lsfml-audio-s -lsfml-graphics-s -lsfml-window-s -lsfml-system-s -lws2_32 -lopengl32 -lgdi32 -lwinmm -lfreetype -lflac -lvorbisenc -lvorbisfile -lvorbis -logg -lopenal32 -I SFML-2.5.1-2/include -v
Thanks eXpl0it3r for help