I was building on a fresh Ubuntu 14.04 VM. Apparently I forgot to install PKG_CONFIG.

cd depends
make HOST=x86_64-w64-mingw32 NO_QT=1 NO_UPNP=1 -j6
cd ..
./automake.sh
./configure --enable-reduce-exports --prefix=`pwd`/depends/x86_64-w64-mingw32
make -j10

The linking step subsequently failed with an error about missing symbols. The immediate cause was trivial: -levent -lopenssl wasn't being passed to the linker.

After investigating somewhat deeper it appears this is a result from missing pkg-config.
AFAIK the only indication of an error was during configure:

./configure: line 17775: PKG_PROG_PKG_CONFIG: command not found

However, this was not fatal so I missed it the first time around. It should be a fatal error.

After installing the pkg-config package and re-running autogen.sh and configure, everything is working as expected.