diff --git a/src/CMakeLists.txt b/src/CMakeLists.txt
index ad11d892f..88b62088d 100644
--- a/src/CMakeLists.txt
+++ b/src/CMakeLists.txt
@@ -33,6 +33,12 @@ if (USE_CUDA)
     $<$<COMPILE_LANGUAGE:CUDA>:-Xcompiler=${OpenMP_CXX_FLAGS}>
   )
 
+  if (MSVC)
+    target_compile_options(objxgboost PRIVATE
+      $<$<COMPILE_LANGUAGE:CUDA>:-Xcompiler=/utf-8>
+    )
+  endif (MSVC)
+
   set_target_properties(objxgboost PROPERTIES
     CUDA_SEPARABLE_COMPILATION OFF)
 else (USE_CUDA)
@@ -52,6 +58,12 @@ if (WIN32 AND MINGW)
   target_compile_options(objxgboost PUBLIC -static-libstdc++)
 endif (WIN32 AND MINGW)
 
+if (MSVC)
+  target_compile_options(objxgboost PRIVATE
+    $<$<NOT:$<COMPILE_LANGUAGE:CUDA>>:/utf-8>
+  )
+endif (MSVC)
+
 set_target_properties(objxgboost PROPERTIES
   POSITION_INDEPENDENT_CODE ON
   CXX_STANDARD 11
diff --git a/tests/cpp/CMakeLists.txt b/tests/cpp/CMakeLists.txt
index a4ddf33a7..f773aadc0 100644
--- a/tests/cpp/CMakeLists.txt
+++ b/tests/cpp/CMakeLists.txt
@@ -43,8 +43,19 @@ if (USE_CUDA)
     target_include_directories(testxgboost PRIVATE "${NVTX_HEADER_DIR}")
     target_compile_definitions(testxgboost PRIVATE -DXGBOOST_USE_NVTX=1)
   endif (USE_NVTX)
+  if (MSVC)
+    target_compile_options(testxgboost PRIVATE
+      $<$<COMPILE_LANGUAGE:CUDA>:-Xcompiler=/utf-8>
+    )
+  endif (MSVC)
 endif (USE_CUDA)
 
+if (MSVC)
+  target_compile_options(testxgboost PRIVATE
+    $<$<NOT:$<COMPILE_LANGUAGE:CUDA>>:/utf-8>
+  )
+endif (MSVC)
+
 target_include_directories(testxgboost
   PRIVATE
   ${GTEST_INCLUDE_DIRS}