Arduino Yun C++ environment? Bridge + Cross-Compiler
The Linux side of the Yun is just an OpenWRT installation. It has hardly been modified at all.

To cross-compile you will first need a Linux computer, or a Linux virtual machine.  Then you need to download the OpenWRT source code and configure it for the Yun (I think it defaults to the right settings).  Then you can build the whole OpenWRT image.  One side-effect of that is it compiles and configures a full cross-compiling environment for you.

You can then use that cross-compiling environment to compile your own code.