[king_geedorah]

As far as I'm aware so long as you limit yourself to APIs that were available in XP you don't actually need an older SDK to develop for it with modern MSVC. The early windows platform layer stuff in the handmade hero series demonstrates doing so without anything like Cygwin or MinGW.

[pjmlp]

Most new APIs introduced since Vista are COM based, and after Windows 8, WinRT based (basically COM with IIinspectable, application identity, and .NET metadata instead of type libraries).

Plain old Win32 C API is basically frozen on Windows XP view of the world, although there are a couple of new .....ExNum() suffixes for stuff like HDPI or various IO improvements, the userspace drivers initially COM (UMDF), but reverted back to plain C struct with function pointers on version 2.0.

[SleepyMyroslav]

The only officially (at least partially) supported way from Microsoft is to add into Visual Studio the toolchain named "C++ Windows XP Support for VS 2017 (v141) tools". It is still there in the "individual components" of Visual Studio Installer for the latest VS but it is marked as [Deprecated]. It is a safe bet that MS will never fix any existing bugs in it or update it so at this point your best bet might be with the open source tools.

All other currently supported toolchains rely on runtimes that are explicitly not compatible with Win XP.