It's a fresh install of CMake and Code::Blocks. I will install the latest MinGW version and point things there instead of to the version that came with Code::Blocks.
Note for others who may experience this issue: the MinGW version packaged with Code::Blocks was the issue. I had to install MinGW manually, then point the CMake gui to the correct native compilers. Even though I removed the Code::Blocks compiler directory from my path and added the MinGW compiler directory, CMake found the Code::Blocks compilers and used them instead.The fix:
Install MinGW from
http://www.mingw.org/ (you'll need at least mingw-developer-toolkit, mingw32-base (c compiler), mingw32-gcc-g++ (c++ compiler), msys-base)
Close and open CMake gui
File -> Delete Cache
Set up according to above link, pointing to the SFML source and binary (output from CMake) directories
Click Configure
Use the MinGW Makefiles option (not the CodeBlocks - MinGW Makefiles option as it can cause further issues)
Click the Specify native compilers radio button
for c, specify %MinGW Installation Directory%/bin/gcc.exe
for c++, specify %MinGW Installation Directory%/bin/g++.exe
Click finish
continue to follow the tutorial above.