FFmpeg: Build ffplay on Windows with Visual Studio and MSYS2

I have built FFmpeg on Windows with Visual Studio and MSYS2.

My problem is, ffplay.exe is not built. Some search online suggests the reason might be of missing dependencies(most likely sdl2). I then installed sdl2 with MSYS2, and realized that the only sdl2 package available was built with MinGW. I imagine this means Visual Studio won’t be able to use it to build ffplay.exe.

My question: I can download sdl2 that’s built with VC++, but how do I incorporate that into the FFmpeg build? Do I simply put SDL2.dll under [MSYS2_Folder]\mingw64\bin ?

Any thought/idea?