A library is not an application. If you are targeting several Linux distributions, the nicest would be to provide a package using their format e.g. .deb files for Debian based distributions.
As for Windows, there's no real package format. Maybe using something like conan.io might be an option. Otherwise an archive that provides your .dll, header and .lib files for the various compilers you want to support is usually good enough.
However packing a full version of all your dependencies, while it sounds nice, might prove problematic. If you provide them, then you should also take care of updating them in case of security issues found during the year.