diff --git a/.ci/test_r_package_windows.ps1 b/.ci/test_r_package_windows.ps1
index 22f4c8c2592f..7a42a7508d59 100644
--- a/.ci/test_r_package_windows.ps1
+++ b/.ci/test_r_package_windows.ps1
@@ -1,5 +1,3 @@
-$ErrorActionPreference = 'Continue'
-
 # Download a file and retry upon failure. This looks like
 # an infinite loop but CI-level timeouts will kill it
 function Download-File-With-Retries {
diff --git a/.ci/test_windows.ps1 b/.ci/test_windows.ps1
index 2bf01e7de0a7..fd0e9f95a5e4 100644
--- a/.ci/test_windows.ps1
+++ b/.ci/test_windows.ps1
@@ -1,5 +1,3 @@
-$ErrorActionPreference = 'Continue'
-
 function Check-Output {
   param( [bool]$success )
   if (!$success) {
diff --git a/.github/workflows/main.yml b/.github/workflows/main.yml
index 38cf4a9adea4..3a10698cccee 100644
--- a/.github/workflows/main.yml
+++ b/.github/workflows/main.yml
@@ -78,11 +78,19 @@ jobs:
         run: conda init powershell
       - name: Setup and run tests on Windows
         if: matrix.os == 'windows-latest'
-        shell: cmd
+        shell: pwsh
         env:
           COMPILER: "${{ matrix.compiler }}"
           GITHUB_ACTIONS: "true"
           TASK: "${{ matrix.task }}"
         run: |
-          set BUILD_SOURCESDIRECTORY=%GITHUB_WORKSPACE%
-          powershell.exe -ExecutionPolicy Bypass -File %GITHUB_WORKSPACE%\.ci\test_windows.ps1
+          $env:BUILD_SOURCESDIRECTORY = $env:GITHUB_WORKSPACE
+          Invoke-Expression -Command "$env:GITHUB_WORKSPACE\.ci\test_windows.ps1"
+
+# set BUILD_SOURCESDIRECTORY=%GITHUB_WORKSPACE%
+# powershell.exe -ExecutionPolicy Bypass -File %GITHUB_WORKSPACE%\.ci\test_windows.ps1
+
+# possible links
+# * https://github.com/PowerShell/PowerShell/issues/4002
+# * https://github.com/PowerShell/PowerShell/issues/3996
+# * https://www.activestate.com/blog/optimizing-ci-cd-pipelines-in-github-actions/