diff --git a/.github/actions/setup-python/action.yml b/.github/actions/setup-python/action.yml
new file mode 100644
index 0000000000000..4962b88362a3b
--- /dev/null
+++ b/.github/actions/setup-python/action.yml
@@ -0,0 +1,31 @@
+name: Setup Python and install requirements
+inputs:
+  python-version:
+    required: true
+  architecture:
+    default: x64
+runs:
+  using: composite
+  steps:
+    - name: Set up Python
+      uses: actions/setup-python@v3
+      with:
+        python-version: ${{ inputs.python-version }}
+        architecture: ${{ inputs.architecture }}
+
+    - name: Fix $PATH on macOS
+      run: |
+        # On macOS, the Python version we installed above is too late in $PATH
+        # to be effective if using "bash -l" (which we need for code that works
+        # with Conda envs).
+        cat >> ~/.bash_profile <<EOF
+          export PATH="\$(echo "\$PATH" | grep -Eio '[^:]+hostedtoolcache/python[^:]+bin'):\$PATH" \
+        EOF
+      shell: bash -el {0}
+      if: ${{ runner.os == 'macOS' }}
+
+    - name: Install dependencies
+      run: |
+        pip install -r ci/deps/pip-requirements.txt
+        pip list
+      shell: bash -el {0}
diff --git a/.github/workflows/sdist.yml b/.github/workflows/sdist.yml
index cd19eb7641c8c..8cb1e969c3c22 100644
--- a/.github/workflows/sdist.yml
+++ b/.github/workflows/sdist.yml
@@ -14,8 +14,8 @@ on:
       - "doc/**"
 
 jobs:
-  build:
-    if: ${{ github.event.label.name == 'Build' || contains(github.event.pull_request.labels.*.name, 'Build') || github.event_name == 'push'}}
+  sdist:
+    #if: ${{ github.event.label.name == 'Build' || contains(github.event.pull_request.labels.*.name, 'Build') || github.event_name == 'push'}}
     runs-on: ubuntu-latest
     timeout-minutes: 60
     defaults:
@@ -26,6 +26,8 @@ jobs:
       fail-fast: false
       matrix:
         python-version: ["3.8", "3.9", "3.10"]
+    name: sdist Python ${{ matrix.python-version }}
+
     concurrency:
       # https://github.community/t/concurrecy-not-work-for-push/183068/7
       group: ${{ github.event_name == 'push' && github.run_number || github.ref }}-${{matrix.python-version}}-sdist
@@ -36,8 +38,8 @@ jobs:
       with:
         fetch-depth: 0
 
-    - name: Set up Python
-      uses: actions/setup-python@v3
+    - name: Set up Python ${{ matrix.python-version }} and install dependencies
+      uses: ./.github/actions/setup-python
       with:
         python-version: ${{ matrix.python-version }}
 
diff --git a/ci/deps/pip-requirements.txt b/ci/deps/pip-requirements.txt
new file mode 100644
index 0000000000000..29dd9dd804c90
--- /dev/null
+++ b/ci/deps/pip-requirements.txt
@@ -0,0 +1,22 @@
+# Requirements for pip-based CI environments (eg., sdist and python-dev)
+
+# Python deps
+pip
+# TODO: GH#44980 https://github.com/pypa/setuptools/issues/2941
+setuptools<60.0.0
+wheel
+
+# Pandas deps
+# GH 39416
+numpy
+cython
+python-dateutil
+pytz
+
+# Test deps
+git+https://github.com/nedbat/coveragepy.git
+hypothesis
+pytest>=6.2.5
+pytest-xdist
+pytest-cov
+pytest-asyncio>=0.17