We investigate the classical Heisenberg and planar (XY) models on the windmill lattice. The windmill lattice is formed out of two widely occurring lattice geometries: a triangular lattice is coupled to its dual honeycomb lattice. Using a combination of iterative minimization, heat-bath Monte Carlo simulations and analytical calculations, we determine the complete ground state phase diagram of both models and find the exact energies of the phases. The phase diagram shows a rich phenomenology due to competing interactions and hosts, in addition to collinear and various coplanar phases, also intricate non-coplanar phases. We briefly outline different paths to an experimental realization of these spin models. Our extensive study provides a starting point for the investigation of quantum and thermal fluctuation effects.