For Windows Terminal (Profiles > List):

{
    "commandline": "C:/msys64/msys2_shell.cmd -defterm -here -no-start -mingw64",
    "guid": "{17da3cac-b318-431e-8a3e-7fcdefe6d114}",
    "icon": "C:/msys64/mingw64.ico",
    "name": "MINGW64 / MSYS2",
    "startingDirectory": "C:/msys64/home/%USERNAME%"
},
{
    "commandline": "C:/msys64/msys2_shell.cmd -defterm -here -no-start -mingw32",
    "guid": "{2d51fdc4-a03b-4efe-81bc-722b7f6f3820}",
    "icon": "C:/msys64/mingw32.ico",
    "name": "MINGW32 / MSYS2",
    "startingDirectory": "C:/msys64/home/%USERNAME%"
},
{
    "commandline": "C:/msys64/msys2_shell.cmd -defterm -here -no-start -msys",
    "guid": "{71160544-14d8-4194-af25-d05feeac7233}",
    "icon": "C:/msys64/msys2.ico",
    "name": "MSYS / MSYS2",
    "startingDirectory": "C:/msys64/home/%USERNAME%"
},


For VSCode (Terminal > Integrated > Profiles: Windows):

"MINGW64 / MSYS2": {
    "path": "C:/msys64/msys2_shell.cmd",
    "args": [
        "-defterm",
        "-here",
        "-no-start",
        "-mingw64"
    ]
},
"MINGW32 / MSYS2": {
    "path": "C:/msys64/msys2_shell.cmd",
    "args": [
        "-defterm",
        "-here",
        "-no-start",
        "-mingw32"
    ]
},
"MSYS / MSYS2": {
    "path": "C:/msys64/msys2_shell.cmd",
    "args": [
        "-defterm",
        "-here",
        "-no-start",
        "-msys"
    ]
},