Problems with using gdb with binary linked against SDL-2.0.3

Platform is Windows 10 Home.
I’m using 32-bit mingw suite (gcc-4.8.1, ld-2.24 and gdb-7.6.1).

I’m linking with LDLIBS: -lmingw32 -lSDL2main -lSDL2

gdb can read symbols; (gdb) info sources gives me:
/Users/slouken/release/SDL/SDL2-2.0.3-source/foo-x86/…/src/main/windows/SDL_windows_main.c,
C:\test.c

b mainBreakpoint 1 at 0x4084e0

i bNum Type Disp Enb Address What
1 breakpoint keep y 0x004084e0 <main+16>

n
It does not step through the code but works like continue and (launch
program and) quits.

Has anybody had similar problems?–
Thanks,
Jacek