diff --git a/python-package/setup.py b/python-package/setup.py
index e6c3386f2..d4b6aa6bc 100644
--- a/python-package/setup.py
+++ b/python-package/setup.py
@@ -16,7 +16,15 @@ libpath_py = os.path.join(CURRENT_DIR, 'xgboost/libpath.py')
 libpath = {'__file__': libpath_py}
 exec(compile(open(libpath_py, "rb").read(), libpath_py, 'exec'), libpath, libpath)
 
-LIB_PATH = [os.path.relpath(libfile, CURRENT_DIR) for libfile in libpath['find_lib_path']()]
+LIB_PATH = []
+for libfile in libpath['find_lib_path']():
+    try:
+        relpath = os.path.relpath(libfile, CURRENT_DIR)
+        LIB_PATH.append(relpath)
+        break  # need only one
+    except ValueError:
+        continue
+
 print("Install libxgboost from: %s" % LIB_PATH)
 # Please use setup_pip.py for generating and deploying pip installation
 # detailed instruction in setup_pip.py