It is going to depend on the core.ignorecase configuration value, which is set to false in case-sensitive filesystems and true in msysgit on Windows.
core.ignorecase
If true, this option enables various workarounds to enable git to work better on filesystems that are not case sensitive, like FAT. For
example, if a directory listing finds “makefile” when git expects
“Makefile”, git will assume it is really the same file, and continue
to remember it as “Makefile”.The default is false, except git-clone(1) or git-init(1) will probe and set core.ignorecase true if appropriate when the repository
is created.
More detail in this reply to Changing capitalization of filenames in Git.