Clang not generating debug info on -g flag

On Windows, Clang is not self-sufficient (at least not the official binaries). You need to have either GCC or MSVC installed for it to function.

As Target: x86_64-pc-windows-msvc indicates, by default your Clang is operating in some kind of MSVC-compatible mode. From what I gathered, it means using the standard library and other libraries provided by your MSVC installation, and presumably generating debug info in some MSVC-specific format.

Add --target=x86_64-w64-windows-gnu to build in GCC-compatible mode. (If you're building for 32 bits rather than 64, replace x86_64 with i686). This will make Clang use headers & libraries provided by your GCC installation, and debug info should be generated in a GCC-compatible way. I'm able to debug resulting binaries with MSYS2's GDB (and that's also where my GCC installation comes from).

If you only have GCC installed and not MSVC, you still must use this flag.

How do I know this is the right --target? This is what MSYS2's Clang uses, and I assume they know what they're doing. If you don't want to type this flag every time, you can replace the official Clang with MSYS2's one, but I'm not sure if it's the best idea.
_{(I think they used to provide some patches to increase compatibility with MinGW, but now the official binaries work equally well, except for the need to specify the target. Also, last time I checked their binary distribution was several GB larger, due to their inability to get dynamic linking to work. Also some of the versions they provided were prone to crashing. All those problems come from them building their Clang with MinGW, which Clang doesn't seem to support very well out of the box. In their defence, they're actively maintaining their distribution, and I think they even ship libc++ for Windows, which the official distribution doesn't do.)}