Are you sure the MinGW is compatible with your Eclipse compiler? The compiler and its version must match exactly. "It's g++" doesn't suffice, especially not on Windows, where people have loved to create a wide variety of incompatible g++ distributions. In case of doubt, recompile SFML with the compiler that Eclipse uses.
Make sure you have the correct linking order: dependent libraries must appear before their dependencies.
When files are not found, you're doing something wrong (the library name should suffice, maybe specifying the entire path is not handled correctly because of pre-/postfixes).