I installed jq, but running it failed with
C:/msys64/mingw64/bin/jq.exe: error while loading shared libraries: libwinpthread-1.dll: cannot open shared object file: No such file or directory
Double-clicking from Windows Explorer indicated it was looking for libonig-2.dll. So I installed oniguruma and now it works.
I'd add that installing oniguruma now (at version 6.0.0-1) installed libonig-3.dll, so running jq (1.5-1) fails to run with this error:
jq.exe: error while loading shared libraries: libonig-2.dll: cannot open shared object file: No such file or directory
@vszakats Maybe this is not a best solution but the following works for me
pacman -S mingw-w64-x86_64-jq
pacman -S mingw-w64-x86_64-oniguruma
pacman -D --asdep mingw-w64-x86_64-oniguruma
cp /mingw64/bin/libonig-3.dll /mingw64/bin/libonig-2.dll
Thanks @Den-dp, the cp was enough to make it work in my installation.
Can this be reopend I think its broken again?

pacman -S mingw-w64-x86_64-libwinpthread is needed for jq aparently
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pacman -S mingw-w64-x86_64-libwinpthread is needed for jq aparently