You need to install the package python2-devel
or python3-devel
, depending on the Python version you're using.
You can quickly install it using the 32-bit or 64-bit setup.exe
(depending on your installation) from Cygwin.com.
Example (modify setup.exe
's filename and Python's major version if you need):
$ setup.exe -q --packages=python3-devel
You can also check my other answer for a few more options to install Cygwin's packages from the command-line.