diff --git a/ci/azure/windows.yml b/ci/azure/windows.yml
index eeb03a0b28130..4d6c0cb71dcc8 100644
--- a/ci/azure/windows.yml
+++ b/ci/azure/windows.yml
@@ -25,6 +25,7 @@ jobs:
       displayName: Create anaconda environment
     - script: |
         call activate pandas-dev
+        call pip install pytest-azurepipelines
         call conda list
         ci\\incremental\\build.cmd
       displayName: 'Build'
diff --git a/ci/setup_env.sh b/ci/setup_env.sh
index 8f73bb228e2bd..828f161edfc95 100755
--- a/ci/setup_env.sh
+++ b/ci/setup_env.sh
@@ -97,6 +97,12 @@ time conda env create -q --file="${ENV_FILE}"
 echo "activate pandas-dev"
 source activate pandas-dev
 
+echo "update pip"
+conda update pip
+
+echo "install pytest-azurepipelines"
+pip install pytest-azurepipelines
+
 echo
 echo "remove any installed pandas package"
 echo "w/o removing anything else"