diff --git a/.github/actions/build_pandas/action.yml b/.github/actions/build_pandas/action.yml
index e916d5bfde5fb..5e5a3bdf0f024 100644
--- a/.github/actions/build_pandas/action.yml
+++ b/.github/actions/build_pandas/action.yml
@@ -12,6 +12,9 @@ runs:
 
     - name: Build Pandas
       run: |
-        python setup.py build_ext -j 2
+        python setup.py build_ext -j $N_JOBS
         python -m pip install -e . --no-build-isolation --no-use-pep517 --no-index
       shell: bash -el {0}
+      env:
+        # Cannot use parallel compilation on Windows, see https://github.com/pandas-dev/pandas/issues/30873
+        N_JOBS: ${{ runner.os == 'Windows' && 1 || 2 }}
diff --git a/.github/workflows/posix.yml b/.github/workflows/posix.yml
index f5cbb0e88ff11..b86dcea59edb8 100644
--- a/.github/workflows/posix.yml
+++ b/.github/workflows/posix.yml
@@ -180,7 +180,6 @@ jobs:
       run: ci/run_tests.sh
       # TODO: Don't continue on error for PyPy
       continue-on-error: ${{ env.IS_PYPY == 'true' }}
-      if: always()
 
     - name: Build Version
       run: conda list
diff --git a/.github/workflows/windows.yml b/.github/workflows/windows.yml
new file mode 100644
index 0000000000000..6f267357554a3
--- /dev/null
+++ b/.github/workflows/windows.yml
@@ -0,0 +1,75 @@
+name: Windows
+
+on:
+  push:
+    branches:
+      - main
+      - 1.4.x
+  pull_request:
+    branches:
+      - main
+      - 1.4.x
+    paths-ignore:
+      - "doc/**"
+
+env:
+  PANDAS_CI: 1
+  PYTEST_TARGET: pandas
+  PYTEST_WORKERS: auto
+  PATTERN: "not slow and not db and not network and not single_cpu"
+
+
+jobs:
+  pytest:
+    runs-on: windows-latest
+    defaults:
+      run:
+        shell: bash -el {0}
+    timeout-minutes: 90
+    strategy:
+      matrix:
+        env_file: [actions-38.yaml, actions-39.yaml, actions-310.yaml]
+      fail-fast: false
+    concurrency:
+      # https://github.community/t/concurrecy-not-work-for-push/183068/7
+      group: ${{ github.event_name == 'push' && github.run_number || github.ref }}-${{ matrix.env_file }}-windows
+      cancel-in-progress: true
+
+    steps:
+    - name: Checkout
+      uses: actions/checkout@v3
+      with:
+        fetch-depth: 0
+
+    - name: Install Dependencies
+      uses: conda-incubator/setup-miniconda@v2.1.1
+      with:
+        mamba-version: "*"
+        channels: conda-forge
+        activate-environment: pandas-dev
+        channel-priority: strict
+        environment-file: ci/deps/${{ matrix.env_file }}
+        use-only-tar-bz2: true
+
+    - name: Build Pandas
+      uses: ./.github/actions/build_pandas
+
+    - name: Test
+      run: ci/run_tests.sh
+
+    - name: Build Version
+      run: conda list
+
+    - name: Publish test results
+      uses: actions/upload-artifact@v3
+      with:
+        name: Test results
+        path: test-data.xml
+      if: failure()
+
+    - name: Upload coverage to Codecov
+      uses: codecov/codecov-action@v2
+      with:
+        flags: unittests
+        name: codecov-pandas
+        fail_ci_if_error: false
diff --git a/azure-pipelines.yml b/azure-pipelines.yml
index f7c97f0554e0e..b2ae620019962 100644
--- a/azure-pipelines.yml
+++ b/azure-pipelines.yml
@@ -27,11 +27,6 @@ jobs:
     name: macOS
     vmImage: macOS-10.15
 
-- template: ci/azure/windows.yml
-  parameters:
-    name: Windows
-    vmImage: windows-2019
-
 - job: py38_32bit
   pool:
     vmImage: ubuntu-18.04
diff --git a/ci/azure/windows.yml b/ci/azure/windows.yml
deleted file mode 100644
index 02c6564579aa2..0000000000000
--- a/ci/azure/windows.yml
+++ /dev/null
@@ -1,58 +0,0 @@
-parameters:
-  name: ''
-  vmImage: ''
-
-jobs:
-- job: ${{ parameters.name }}
-  timeoutInMinutes: 90
-  pool:
-    vmImage: ${{ parameters.vmImage }}
-  strategy:
-    matrix:
-      py38:
-        ENV_FILE: ci/deps/actions-38.yaml
-        CONDA_PY: "38"
-
-      py39:
-        ENV_FILE: ci/deps/actions-39.yaml
-        CONDA_PY: "39"
-
-      py310:
-        ENV_FILE: ci/deps/actions-310.yaml
-        CONDA_PY: "310"
-
-  steps:
-    - powershell: |
-        Write-Host "##vso[task.prependpath]$env:CONDA\Scripts"
-        Write-Host "##vso[task.prependpath]$HOME/miniconda3/bin"
-      displayName: 'Add conda to PATH'
-    - bash: conda install -yv -c conda-forge -n base 'mamba>=0.21.2'
-      displayName: 'Install mamba'
-
-    - bash: |
-        # See https://github.com/mamba-org/mamba/issues/1370
-        # See https://github.com/mamba-org/mamba/issues/633
-        C:\\Miniconda\\condabin\\mamba.bat create -n pandas-dev
-        C:\\Miniconda\\condabin\\mamba.bat env update -n pandas-dev --file ci\\deps\\actions-$(CONDA_PY).yaml
-        # TODO: GH#44980 https://github.com/pypa/setuptools/issues/2941
-        C:\\Miniconda\\condabin\\mamba.bat install -n pandas-dev 'setuptools<60'
-        C:\\Miniconda\\condabin\\mamba.bat list -n pandas-dev
-      displayName: 'Create anaconda environment'
-    - bash: |
-        source activate pandas-dev
-        conda list
-        python setup.py build_ext -q -j 2
-        python -m pip install --no-build-isolation -e .
-      displayName: 'Build'
-    - bash: |
-        source activate pandas-dev
-        wmic.exe cpu get caption, deviceid, name, numberofcores, maxclockspeed
-        ci/run_tests.sh
-      displayName: 'Test'
-    - task: PublishTestResults@2
-      condition: succeededOrFailed()
-      inputs:
-        failTaskOnFailedTests: true
-        testResultsFiles: 'test-data.xml'
-        testRunTitle: ${{ format('{0}-$(CONDA_PY)', parameters.name) }}
-      displayName: 'Publish test results'