VSCode > Terminal > use “v” icon > Terminal Settings

or

VSCode > File > Preferences > Settings (Ctrl + ,)

Scroll to Features > Terminal > Integrated > Automation Profile: Windows (or Linux)

“Edit in settings.json” → creates C:\Users\%USER%\AppData\Roaming\Code\User\settings.json

In the JSON section:

    "terminal.integrated.shell.windows": "C:\\Windows\\Sysnative\\WindowsPowerShell\\v1.0\\powershell.exe",

replace by:

    "terminal.integrated.shell.windows": "C:\\cygwin64\\bin\\bash.exe",

    "terminal.integrated.shellArgs.windows": [

        "--login",

        "-i"

    ],

    "terminal.integrated.env.windows": {

        "CHERE_INVOKING": "1"

    },

Try it with Ctrl-` (or Terminal > New)

Also copy that in the workspace profile rather than the user-wide profile.

Note that this method is deprecated as now there are “terminal profiles” but it still works.