diff --git a/appveyor.yml b/appveyor.yml
index 285de3ec4..2dc35521a 100644
--- a/appveyor.yml
+++ b/appveyor.yml
@@ -73,7 +73,9 @@ build_script:
     # Python package
     - if /i "%DO_PYTHON%" == "on" (
         cd %APPVEYOR_BUILD_FOLDER%\python-package &&
-        python setup.py install
+        python setup.py install &&
+        mkdir wheel &&
+        python setup.py bdist_wheel --universal --plat-name win-amd64 -d wheel
       )
     # R package: make + mingw standard CRAN packaging (only x64 for now)
     - if /i "%target%" == "rmingw" (
@@ -122,3 +124,6 @@ artifacts:
     # binary R-package
     - path: '**\xgboost_*.zip'
       name: Bits
+    # binary Python wheel package
+    - path: '**\*.whl'
+      name: Bits