I have successfully built bitcoind.exe and bitcoin-cli.exe from the latest master using MinGW. I also ran into these problems and solved them with a hammer by simply copying files to places that are checked by default
I copied the BDB include files to /mingw/include/bdbd4.8 and the BDB library files to /mingw/lib
I copied the SSL library files to /mingw/lib
Boost is handled by specifying BOOST_ROOT=path-to-boost-install as part of the configure command. For example:
BOOST_ROOT=~/boost_1_55_0 ./configure --enable-tests=no
Note that /mingw is an msys mount point, so the files actually go to C:\MinGW\include and C:\MinGW\lib if you are using Windows commands to move things around.