diff --git a/pygmt/session_management.py b/pygmt/session_management.py
index 4bb829835b9..750157679d4 100644
--- a/pygmt/session_management.py
+++ b/pygmt/session_management.py
@@ -1,7 +1,11 @@
 """
 Modern mode session management modules.
 """
+import os
+import sys
+
 from pygmt.clib import Session
+from pygmt.helpers import unique_name
 
 
 def begin():
@@ -12,6 +16,10 @@ def begin():
 
     Only meant to be used once for creating the global session.
     """
+    # On Windows, need to set GMT_SESSION_NAME to a unique value
+    if sys.platform == "win32":
+        os.environ["GMT_SESSION_NAME"] = unique_name()
+
     prefix = "pygmt-session"
     with Session() as lib:
         lib.call_module(module="begin", args=prefix)