launch.json

{
    "version": "0.2.0",
    "configurations": [
        {
            "name": "Build (clang) and debug (gdb) active file",
            "type": "cppdbg",
            "request": "launch",
            "program": "C:/DEV/test.exe",
            "args": [],
            "stopAtEntry": false,
            "cwd": "C:/DEV",
            "environment": [],
            "externalConsole": false,
            "MIMode": "gdb",
            "miDebuggerPath": "C:/msys64/mingw64/bin/gdb.exe",
            "setupCommands": [
                {
                    "description": "Enable pretty-printing for gdb",
                    "text": "-enable-pretty-printing",
                    "ignoreFailures": true
                }
            ],
            "preLaunchTask": "clang.exe build active file"
        }
    ]
}

tasks.json

{
  "tasks": [
    {
      "type": "shell",
      "label": "clang.exe build active file",
      "command": "C:/msys64/mingw64/bin/clang.exe",
      "args": [
        "-std=c17",
        "-Wall",
        "-Wextra",
        "-g",
        "C:/DEV/test.c",
        "-o",
        "C:/DEV/test.exe"
      ],
      "options": {
        "cwd": "C:/msys64/mingw64/bin"
      }
    }
  ],
  "version": "2.0.0"
}

VSCode-MSYS2-Terminal-Settings.json

{
    "terminal.integrated.shell.windows": "C:\\msys64\\usr\\bin\\bash.exe",
    "terminal.integrated.shellArgs.windows": ["--login"],
    "terminal.integrated.env.windows": {
        "CHERE_INVOKING":"1",
        "MSYSTEM":"MINGW64"
    }
}