diff --git a/build_tools/github/vendor.py b/build_tools/github/vendor.py
index bbc941d8f25f7..c93d1e9055490 100644
--- a/build_tools/github/vendor.py
+++ b/build_tools/github/vendor.py
@@ -17,6 +17,7 @@
 VCOMP140_SRC_PATH = "C:\\Windows\\System32\\vcomp140.dll"
 VCRUNTIME140_SRC_PATH = "C:\\Windows\\System32\\vcruntime140.dll"
 VCRUNTIME140_1_SRC_PATH = "C:\\Windows\\System32\\vcruntime140_1.dll"
+MSVCP140_SRC_PATH = "C:\\Windows\\System32\\msvcp140.dll"
 
 
 def make_distributor_init_32_bits(
@@ -65,12 +66,13 @@ def make_distributor_init_64_bits(
     vcomp140_dll_filename,
     vcruntime140_dll_filename,
     vcruntime140_1_dll_filename,
+    msvcp140_dll_filename,
 ):
     """Create a _distributor_init.py file for 64-bit architectures.
 
     This file is imported first when importing the sklearn package
-    so as to pre-load the vendored vcomp140.dll, vcruntime140.dll
-    and vcruntime140_1.dll.
+    so as to pre-load the vendored vcomp140.dll, vcruntime140.dll,
+    vcruntime140_1.dll and msvcp140.dll.
     """
     with open(distributor_init, "wt") as f:
         f.write(
@@ -97,13 +99,16 @@ def make_distributor_init_64_bits(
                 vcomp140_dll_filename = op.join(libs_path, "{0}")
                 vcruntime140_dll_filename = op.join(libs_path, "{1}")
                 vcruntime140_1_dll_filename = op.join(libs_path, "{2}")
+                msvcp140_dll_filename = op.join(libs_path, "{3}")
                 WinDLL(op.abspath(vcomp140_dll_filename))
                 WinDLL(op.abspath(vcruntime140_dll_filename))
                 WinDLL(op.abspath(vcruntime140_1_dll_filename))
+                WinDLL(op.abspath(msvcp140_dll_filename))
             """.format(
                     vcomp140_dll_filename,
                     vcruntime140_dll_filename,
                     vcruntime140_1_dll_filename,
+                    msvcp140_dll_filename,
                 )
             )
         )
@@ -120,12 +125,16 @@ def main(wheel_dirname, bitness):
     if not op.exists(VCRUNTIME140_1_SRC_PATH) and bitness == "64":
         raise ValueError(f"Could not find {VCRUNTIME140_1_SRC_PATH}.")
 
+    if not op.exists(MSVCP140_SRC_PATH) and bitness == "64":
+        raise ValueError(f"Could not find {MSVCP140_SRC_PATH}.")
+
     if not op.isdir(wheel_dirname):
         raise RuntimeError(f"Could not find {wheel_dirname} file.")
 
     vcomp140_dll_filename = op.basename(VCOMP140_SRC_PATH)
     vcruntime140_dll_filename = op.basename(VCRUNTIME140_SRC_PATH)
     vcruntime140_1_dll_filename = op.basename(VCRUNTIME140_1_SRC_PATH)
+    msvcp140_dll_filename = op.basename(MSVCP140_SRC_PATH)
 
     target_folder = op.join(wheel_dirname, TARGET_FOLDER)
     distributor_init = op.join(wheel_dirname, DISTRIBUTOR_INIT)
@@ -144,6 +153,9 @@ def main(wheel_dirname, bitness):
         print(f"Copying {VCRUNTIME140_1_SRC_PATH} to {target_folder}.")
         shutil.copy2(VCRUNTIME140_1_SRC_PATH, target_folder)
 
+        print(f"Copying {MSVCP140_SRC_PATH} to {target_folder}.")
+        shutil.copy2(MSVCP140_SRC_PATH, target_folder)
+
     # Generate the _distributor_init file in the source tree
     print("Generating the '_distributor_init.py' file.")
     if bitness == "32":
@@ -156,6 +168,7 @@ def main(wheel_dirname, bitness):
             vcomp140_dll_filename,
             vcruntime140_dll_filename,
             vcruntime140_1_dll_filename,
+            msvcp140_dll_filename,
         )