How to reliably detect a native Windows build when cross-compiling with MXE?

I’m working on building Alembic using MXE, where my host is Linux (Ubuntu running under WSL on Windows) and the target is Windows.

This works fine when compiling natively on Windows. However, when cross-compiling with MXE, _WIN32 and _WIN64 are defined even though the host is Linux, so <Windows.h> does not exist and the build fails. Removing these #if checks and their contents allows the build to succeed.

I initially looked at this StackOverflow answer: Is there a compiler macro to detect Windows?, which suggests using _WIN32. But in MXE cross-compilation, _WIN32 is not reliable, because it only indicates a Windows target, not a native Windows host.

Question:
Is there a preprocessor macro, CMake variable, or other method to reliably detect a native Windows build versus a cross-compilation target?

This would allow projects like Alembic to include Windows headers only when they’re actually available, avoiding cross-compilation failures. For more context, here's the specific issue I encountered: