diff --git a/ci/install-dependencies-windows.sh b/ci/install-dependencies-windows.sh
index 7e1deb61a71..9d7e164a9db 100755
--- a/ci/install-dependencies-windows.sh
+++ b/ci/install-dependencies-windows.sh
@@ -45,6 +45,8 @@ fi
 # we need the GNU tar for packaging
 if [ "$PACKAGE" = "true" ]; then
     echo 'C:\Program Files\Git\usr\bin\' >> $GITHUB_PATH
+    # Install NSIS for building Windows installer
+    choco install nsis --no-progress
 fi
 
 # install more packages using conda