Debug and Release Library Linking with CMAKE (VISUAL STUDIO)

The solution is:

SET(LINK_LIBRARY optimized Foo debug Foo_d)
target_link_libraries(MyEXE ${LINK_LIBRARY})

There is no problems when your library is a part of the project or you're importing it using config mode of find_package command (see documentation and example). In case you can't modify 3rd party so it will produce <package>Config.cmake (it may not use cmake tool or you don't want to do it) the answer is to emulate such process:

add_library(foo STATIC IMPORTED)
set_target_properties(foo PROPERTIES IMPORTED_LOCATION_DEBUG "/path/to/foo-d.lib")
set_target_properties(foo PROPERTIES IMPORTED_LOCATION_RELEASE "/path/to/foo.lib")

target_link_libraries(MyEXE foo)

note that unlike "debug"/"optimized" feature such approach is not limited to Debug/Release configs:

set_target_properties(foo PROPERTIES IMPORTED_LOCATION_MINSIZEREL "/path/to/foo-small.lib")

also you've got some goodies like INTERFACE_INCLUDE_DIRECTORIES:

set_target_properties(foo PROPERTIES INTERFACE_INCLUDE_DIRECTORIES "/path/to/foo/includes")

include_directories("/path/to/foo/includes") # this line not needed
target_link_libraries(MyEXE foo) # this command will add "/path/to/foo/includes" for you

and transitive linking:

add_library(boo STATIC IMPORTED)
set_target_properties(boo PROPERTIES IMPORTED_LOCATION_DEBUG "/path/to/boo-d.lib")
set_target_properties(boo PROPERTIES IMPORTED_LOCATION_RELEASE "/path/to/boo.lib")

add_library(foo STATIC IMPORTED)
set_target_properties(foo PROPERTIES IMPORTED_LOCATION_DEBUG "/path/to/foo-d.lib")
set_target_properties(foo PROPERTIES IMPORTED_LOCATION_RELEASE "/path/to/foo.lib")

set_target_properties(foo PROPERTIES INTERFACE_LINK_LIBRARIES boo) # foo depends on boo

target_link_libraries(MyEXE foo) # boo will be linked automatically

Of course you can use regular cmake commands like find_library and find_package(... MODULE) to estimate locations instead of hardcoding them.

target_link_libraries takes a list, you don't need to call it twice. The following will work:

target_link_libraries(MyEXE debug Foo_d optimized Foo)

And to answer a question asked in the comments of another answer, working with multiple libraries works like so:

target_link_libraries(MyEXE
    debug Foo1_d optimized Foo1
    debug Foo2_d optimized Foo2)

Note that if you also build the library as part of the CMake project, you don't need to specify debug or optimized. CMake will choose the right one for you.