diff --git a/src/ci/azure-pipelines/steps/install-windows-build-deps.yml b/src/ci/azure-pipelines/steps/install-windows-build-deps.yml
index 1a5b14d66aa..7aab5658dc0 100644
--- a/src/ci/azure-pipelines/steps/install-windows-build-deps.yml
+++ b/src/ci/azure-pipelines/steps/install-windows-build-deps.yml
@@ -1,44 +1,4 @@
 steps:
-# If we need to download a custom MinGW, do so here and set the path
-# appropriately.
-#
-# Here we also do a pretty heinous thing which is to mangle the MinGW
-# installation we just downloaded. Currently, as of this writing, we're using
-# MinGW-w64 builds of gcc, and that's currently at 6.3.0. We use 6.3.0 as it
-# appears to be the first version which contains a fix for #40546, builds
-# randomly failing during LLVM due to ar.exe/ranlib.exe failures.
-#
-# Unfortunately, though, 6.3.0 *also* is the first version of MinGW-w64 builds
-# to contain a regression in gdb (#40184). As a result if we were to use the
-# gdb provided (7.11.1) then we would fail all debuginfo tests.
-#
-# In order to fix spurious failures (pretty high priority) we use 6.3.0. To
-# avoid disabling gdb tests we download an *old* version of gdb, specifically
-# that found inside the 6.2.0 distribution. We then overwrite the 6.3.0 gdb
-# with the 6.2.0 gdb to get tests passing.
-#
-# Note that we don't literally overwrite the gdb.exe binary because it appears
-# to just use gdborig.exe, so that's the binary we deal with instead.
-- bash: |
-    set -e
-    curl -o mingw.7z $MINGW_URL/$MINGW_ARCHIVE
-    7z x -y mingw.7z > /dev/null
-    curl -o $MINGW_DIR/bin/gdborig.exe $MINGW_URL/2017-04-20-${MSYS_BITS}bit-gdborig.exe
-    echo "##vso[task.prependpath]`pwd`/$MINGW_DIR/bin"
-  condition: and(succeeded(), eq(variables['Agent.OS'], 'Windows_NT'), ne(variables['MINGW_URL'],''))
-  displayName: Download custom MinGW
-
-# Otherwise install MinGW through `pacman`
-- bash: |
-    set -e
-    arch=i686
-    if [ "$MSYS_BITS" = "64" ]; then
-      arch=x86_64
-    fi
-    pacman -S --noconfirm --needed mingw-w64-$arch-toolchain mingw-w64-$arch-cmake mingw-w64-$arch-gcc mingw-w64-$arch-python2
-    echo "##vso[task.prependpath]$(System.Workfolder)/msys2/mingw$MSYS_BITS/bin"
-  condition: and(succeeded(), eq(variables['Agent.OS'], 'Windows_NT'), eq(variables['MINGW_URL'],''))
-  displayName: Download standard MinGW
 
 # Note that this is originally from the github releases patch of Ninja
 - bash: |
diff --git a/src/ci/azure-pipelines/steps/run.yml b/src/ci/azure-pipelines/steps/run.yml
index 4700af0148e..7478121306e 100644
--- a/src/ci/azure-pipelines/steps/run.yml
+++ b/src/ci/azure-pipelines/steps/run.yml
@@ -98,6 +98,13 @@ steps:
   displayName: Install msys2
   condition: and(succeeded(), not(variables.SKIP_JOB))
 
+- bash: src/ci/scripts/install-mingw.sh
+  env:
+    AGENT_OS: $(Agent.OS)
+    SYSTEM_WORKFOLDER: $(System.Workfolder)
+  displayName: Install MinGW
+  condition: and(succeeded(), not(variables.SKIP_JOB))
+
 - template: install-windows-build-deps.yml
 
 # Looks like docker containers have IPv6 disabled by default, so let's turn it
diff --git a/src/ci/scripts/install-mingw.sh b/src/ci/scripts/install-mingw.sh
new file mode 100755
index 00000000000..cf3e3e7ec25
--- /dev/null
+++ b/src/ci/scripts/install-mingw.sh
@@ -0,0 +1,44 @@
+#!/bin/bash
+# If we need to download a custom MinGW, do so here and set the path
+# appropriately.
+#
+# Here we also do a pretty heinous thing which is to mangle the MinGW
+# installation we just downloaded. Currently, as of this writing, we're using
+# MinGW-w64 builds of gcc, and that's currently at 6.3.0. We use 6.3.0 as it
+# appears to be the first version which contains a fix for #40546, builds
+# randomly failing during LLVM due to ar.exe/ranlib.exe failures.
+#
+# Unfortunately, though, 6.3.0 *also* is the first version of MinGW-w64 builds
+# to contain a regression in gdb (#40184). As a result if we were to use the
+# gdb provided (7.11.1) then we would fail all debuginfo tests.
+#
+# In order to fix spurious failures (pretty high priority) we use 6.3.0. To
+# avoid disabling gdb tests we download an *old* version of gdb, specifically
+# that found inside the 6.2.0 distribution. We then overwrite the 6.3.0 gdb
+# with the 6.2.0 gdb to get tests passing.
+#
+# Note that we don't literally overwrite the gdb.exe binary because it appears
+# to just use gdborig.exe, so that's the binary we deal with instead.
+#
+# Otherwise install MinGW through `pacman`
+
+set -euo pipefail
+IFS=$'\n\t'
+
+source "$(cd "$(dirname "$0")" && pwd)/../shared.sh"
+
+if isWindows; then
+    if [[ -z "${MINGW_URL+x}" ]]; then
+        curl -o mingw.7z "${MINGW_URL}/${MINGW_ARCHIVE}"
+        7z x -y mingw.7z > /dev/null
+        curl -o "${MINGW_DIR}/bin/gdborig.exe" "${MINGW_URL}/2017-04-20-${MSYS_BITS}bit-gdborig.exe"
+        ciCommandAddPath "$(pwd)/${MINGW_DIR}/bin"
+    else
+        arch=i686
+        if [ "$MSYS_BITS" = "64" ]; then
+          arch=x86_64
+        fi
+        pacman -S --noconfirm --needed mingw-w64-$arch-toolchain mingw-w64-$arch-cmake mingw-w64-$arch-gcc mingw-w64-$arch-python2
+        ciCommandAddPath "${SYSTEM_WORKFOLDER}/msys2/mingw${MSYS_BITS}/bin"
+    fi
+fi