The simplest way is "--enable-targets=all", which will configure all possible architectures including ARM, MIPS, PowerPC, and so forth. However, this will generate more than 1 GB of object files inside your source code directory.
So, choose your favorite architectures, and use commas to separate them.
For example, if you want to enable ARM and MIPS for your objdump, use the following command.
You can also use pe-i386 target to objdump PE files in your linux box.