diff --git a/ci/windows/test_py2_cpu.ps1 b/ci/windows/test_py2_cpu.ps1
index 702a2db90ed7..d4c20338491f 100644
--- a/ci/windows/test_py2_cpu.ps1
+++ b/ci/windows/test_py2_cpu.ps1
@@ -16,9 +16,12 @@
 # under the License.
 
 7z x -y windows_package.7z
+
 $env:MXNET_LIBRARY_PATH=join-path $pwd.Path windows_package\lib\libmxnet.dll
 $env:PYTHONPATH=join-path $pwd.Path windows_package\python
 $env:MXNET_STORAGE_FALLBACK_LOG_VERBOSE=0
+$env:MXNET_HOME=[io.path]::combine($MyInvocation.MyCommand.Path, 'mxnet_home')
+
 c:\Anaconda3\envs\py2\Scripts\pip install -r tests\requirements.txt
 c:\Anaconda3\envs\py2\python.exe -m nose -v --with-timer --timer-ok 1 --timer-warning 15 --timer-filter warning,error --with-xunit --xunit-file nosetests_unittest.xml tests\python\unittest
 if (! $?) { Throw ("Error running unittest") }
diff --git a/ci/windows/test_py2_gpu.ps1 b/ci/windows/test_py2_gpu.ps1
index 0cf2717fa208..e7db6e8d33b0 100644
--- a/ci/windows/test_py2_gpu.ps1
+++ b/ci/windows/test_py2_gpu.ps1
@@ -16,9 +16,12 @@
 # under the License.
 
 7z x -y windows_package.7z
+
 $env:MXNET_LIBRARY_PATH=join-path $pwd.Path windows_package\lib\libmxnet.dll
 $env:PYTHONPATH=join-path $pwd.Path windows_package\python
 $env:MXNET_STORAGE_FALLBACK_LOG_VERBOSE=0
+$env:MXNET_HOME=[io.path]::combine($MyInvocation.MyCommand.Path, 'mxnet_home')
+
 c:\Anaconda3\envs\py2\Scripts\pip install -r tests\requirements.txt
 c:\Anaconda3\envs\py2\python.exe -m nose -v --with-timer --timer-ok 1 --timer-warning 15 --timer-filter warning,error --with-xunit --xunit-file nosetests_unittest.xml tests\python\unittest
 if (! $?) { Throw ("Error running unittest") }
diff --git a/ci/windows/test_py3_cpu.ps1 b/ci/windows/test_py3_cpu.ps1
index a7774a63dd86..6e8b40aeb2a6 100644
--- a/ci/windows/test_py3_cpu.ps1
+++ b/ci/windows/test_py3_cpu.ps1
@@ -16,9 +16,12 @@
 # under the License.
 
 7z x -y windows_package.7z
+
 $env:MXNET_LIBRARY_PATH=join-path $pwd.Path windows_package\lib\libmxnet.dll
 $env:PYTHONPATH=join-path $pwd.Path windows_package\python
 $env:MXNET_STORAGE_FALLBACK_LOG_VERBOSE=0
+$env:MXNET_HOME=[io.path]::combine($MyInvocation.MyCommand.Path, 'mxnet_home')
+
 c:\Anaconda3\envs\py3\Scripts\pip install -r tests\requirements.txt
 c:\Anaconda3\envs\py3\python.exe -m nose -v --with-timer --timer-ok 1 --timer-warning 15 --timer-filter warning,error --with-xunit --xunit-file nosetests_unittest.xml tests\python\unittest
 if (! $?) { Throw ("Error running unittest") }
diff --git a/ci/windows/test_py3_gpu.ps1 b/ci/windows/test_py3_gpu.ps1
index f9955ef6473f..ec4d38c950fd 100644
--- a/ci/windows/test_py3_gpu.ps1
+++ b/ci/windows/test_py3_gpu.ps1
@@ -16,9 +16,12 @@
 # under the License.
 
 7z x -y windows_package.7z
+
 $env:MXNET_LIBRARY_PATH=join-path $pwd.Path windows_package\lib\libmxnet.dll
 $env:PYTHONPATH=join-path $pwd.Path windows_package\python
 $env:MXNET_STORAGE_FALLBACK_LOG_VERBOSE=0
+$env:MXNET_HOME=[io.path]::combine($MyInvocation.MyCommand.Path, 'mxnet_home')
+
 c:\Anaconda3\envs\py3\Scripts\pip install -r tests\requirements.txt
 c:\Anaconda3\envs\py3\python.exe -m nose -v --with-timer --timer-ok 1 --timer-warning 15 --timer-filter warning,error --with-xunit --xunit-file nosetests_unittest.xml tests\python\unittest
 if (! $?) { Throw ("Error running unittest") }