diff --git a/azure-pipelines.yml b/azure-pipelines.yml
index e16fd36ac8f98..6aa78128f73fc 100644
--- a/azure-pipelines.yml
+++ b/azure-pipelines.yml
@@ -17,6 +17,7 @@ pr:
 
 variables:
   PYTEST_WORKERS: auto
+  CONDA_CACHE_DIR: $(Pipeline.Workspace)\\.condarc
 
 jobs:
 # Mac and Linux use the same template
diff --git a/ci/azure/windows.yml b/ci/azure/windows.yml
index 05ba7c57ad6c4..fd256efe3e3ef 100644
--- a/ci/azure/windows.yml
+++ b/ci/azure/windows.yml
@@ -9,47 +9,62 @@ jobs:
   strategy:
     matrix:
       py38_np18:
-        ENV_FILE: ci/deps/azure-windows-38.yaml
-        CONDA_PY: "38"
+        ENV_FILE: ci\\deps\\azure-windows-38.yaml
         PATTERN: "not slow and not network"
-        PYTEST_WORKERS: 2  # GH-42236
 
       py39:
-        ENV_FILE: ci/deps/azure-windows-39.yaml
-        CONDA_PY: "39"
+        ENV_FILE: ci\\deps\\azure-windows-39.yaml
         PATTERN: "not slow and not network and not high_memory"
-        PYTEST_WORKERS: 2  # GH-42236
 
   steps:
     - powershell: |
         Write-Host "##vso[task.prependpath]$env:CONDA\Scripts"
-        Write-Host "##vso[task.prependpath]$HOME/miniconda3/bin"
-      displayName: 'Add conda to PATH'
-    - script: conda update -q -n base conda
-      displayName: 'Update conda'
-
-    - bash: |
-        conda env create -q --file ci\\deps\\azure-windows-$(CONDA_PY).yaml
-      displayName: 'Create anaconda environment'
-    - bash: |
-        source activate pandas-dev
-        conda list
-        python setup.py build_ext -q -j 4
-        python -m pip install --no-build-isolation -e .
-      displayName: 'Build'
-    - bash: |
-        source activate pandas-dev
-        ci/run_tests.sh
-      displayName: 'Test'
+      displayName: Add conda to PATH
+
+    - script: |
+        conda update --quiet --yes conda
+      displayName: Update conda
+
+    - task: Cache@2
+      displayName: Use cached Anaconda environment
+      inputs:
+        key: 'conda | "$(Agent.OS)" | "$(ENV_FILE)"'
+        restoreKeys: |
+          python | "$(Agent.OS)"
+          python
+        path: $(CONDA_CACHE_DIR)
+        cacheHitVar: CONDA_CACHE_RESTORED
+
+    - script: |
+        conda env create -q --file $(ENV_FILE)
+      displayName: Create Anaconda environment
+      condition: eq(variables.CONDA_CACHE_RESTORED, 'false')
+
+    - script: |
+        call activate pandas-dev
+        python setup.py build_ext -q -j 2
+        python -m pip install -e . --no-build-isolation --no-use-pep517
+      displayName: Build pandas
+
+    - script: |
+        call activate pandas-dev
+        sh ci/run_tests.sh
+      displayName: Test
+
+    - script: |
+        call activate pandas-dev
+        python -c "import pandas; pandas.show_versions();"
+      displayName: Build versions
+
     - task: PublishTestResults@2
       condition: succeededOrFailed()
       inputs:
         failTaskOnFailedTests: true
         testResultsFiles: 'test-data.xml'
-        testRunTitle: ${{ format('{0}-$(CONDA_PY)', parameters.name) }}
-      displayName: 'Publish test results'
+        testRunTitle: ${{ format('{0}-$(ENV_FILE)', parameters.name) }}
+      displayName: Publish test results
 
-    - bash: |
-        source activate pandas-dev
+    - script: |
+        call activate pandas-dev
         python ci/print_skipped.py
-      displayName: 'Print skipped tests'
+      displayName: Print skipped tests