I checked out wxPython and wxWidgets into two directories C:\dev\wx\wxPtyhon and C:\dev\wx\wxWidgets:


mkdir /D c:\dev\wx\
cd c:\dev\wx
git clone https://github.com/wxWidgets/wxPython.git
git clone https://github.com/wxWidgets/wxWidgets.git


I successfully build wxWidgets by running:


cd wxwidgets\build\msw
mingw32-make -f makefile.gcc MONOLITHIC=1 SHARED=1 UNICODE=1 BUILD=release

The problem is that when I try to build wxPython, it cannot find wx.h

WXWIN=c:\dev\wx\wxWidgets
:: Note c:\dev\wx\wxWidgets\include\wx\wx.h exists !

C:\dev\wx\wxPython>python setup.py COMPILER=mingw32 BUILD_GLCANVAS=0 BUILD_ACTIVEX=0 WX_CONFIG="wx-config" build_ext --inplace  
Preparing CORE...                                                                                                               
Preparing STC...                                                                                                                
Preparing GIZMOS...                                                                                                             
running build_ext                                                                                                               
running build_ext                                                                                                               
building '_core_' extension                                                                                                     
c:\dev\mingw\bin\gcc.exe -mno-cygwin -mdll -O -Wall -DSWIG_TYPE_TABLE=_wxPython_table -DSWIG_PYTHON_OUTPUT_TUPLE -DWXP_USE_THREA
D=1 -UNDEBUG -Iinclude -Isrc -IC:\Python25\include -IC:\Python25\PC -c src/helpers.cpp -o build\temp.win32-2.5\Release\src\helpe
rs.o -O3                                                                                                                        
In file included from src/helpers.cpp:17:0:                                                                                     
include/wx/wxPython/wxPython_int.h:35:19: fatal error: wx/wx.h: No such file or directory                                       
compilation terminated.                                                                                                         
error: command 'gcc' failed with exit status 1
On Linux I got what seemed like an identical error.
I removed the error in this manner:

I used the find command to get a list of wx-config programs
From the list, I chose a wx-config that seemed right & used
its full path for WX_CONFIG
How to build wxPython trunk with mingw on Windows?