diff --git a/.appveyor.yml b/.appveyor.yml
index 0fbd8d88f8c1..63651fb9f1b7 100644
--- a/.appveyor.yml
+++ b/.appveyor.yml
@@ -16,6 +16,9 @@ environment:
     - COMPILER: MINGW
       TASK: r-package
       R_WINDOWS_VERSION: 3.6.3
+    - COMPILER: MSVC
+      TASK: r-package
+      R_WINDOWS_VERSION: 3.6.3
 
 clone_depth: 5
 
diff --git a/.ci/test_r_package_windows.ps1 b/.ci/test_r_package_windows.ps1
new file mode 100644
index 000000000000..b416cae9eb11
--- /dev/null
+++ b/.ci/test_r_package_windows.ps1
@@ -0,0 +1,86 @@
+# Download a file and retry upon failure. This looks like
+# an infinite looop 
+function Download-File-With-Retries {
+  param(
+    [string]$url,
+    [string]$destfile
+  )
+  do {
+    Write-Output "Downloading '${url}'"
+    sleep 5;
+    (New-Object System.Net.WebClient).DownloadFile($url, $destfile)
+  } while(!$?);
+}
+
+$env:R_LIB_PATH = "C:/RLibrary"
+$env:PATH = "$env:R_LIB_PATH/Rtools/bin;" + "$env:R_LIB_PATH/R/bin/x64;" + "$env:R_LIB_PATH/miktex/texmfs/install/miktex/bin/x64;" + $env:PATH
+$env:BINPREF = "C:/mingw-w64/x86_64-8.1.0-posix-seh-rt_v6-rev0/mingw64/bin/"
+
+cd $env:BUILD_SOURCESDIRECTORY
+tzutil /s "GMT Standard Time"
+[Void][System.IO.Directory]::CreateDirectory($env:R_LIB_PATH)
+
+if ($env:COMPILER -eq "MINGW") {
+  Write-Output "Telling R to use MinGW"
+  $install_libs = "$env:BUILD_SOURCESDIRECTORY\R-package\src\install.libs.R"
+  ((Get-Content -path $install_libs -Raw) -replace 'use_mingw <- FALSE','use_mingw <- TRUE') | Set-Content -Path $install_libs
+}
+
+# set up R if it doesn't exist yet
+if (!(Get-Command R.exe -errorAction SilentlyContinue)) {
+
+    Write-Output "Downloading R and Rtools"
+
+    # download R and RTools
+    Download-File-With-Retries -url "https://cloud.r-project.org/bin/windows/base/old/$env:R_WINDOWS_VERSION/R-$env:R_WINDOWS_VERSION-win.exe" -destfile "R-win.exe"
+    Download-File-With-Retries -url "https://cloud.r-project.org/bin/windows/Rtools/Rtools35.exe" -destfile "Rtools.exe"
+
+    # Install R
+    Write-Output "Installing R"
+    Start-Process -FilePath R-win.exe -NoNewWindow -Wait -ArgumentList "/VERYSILENT /DIR=$env:R_LIB_PATH/R /COMPONENTS=main,x64" ; Check-Output $?
+    Write-Output "Done installing R"
+
+    Write-Output "Installing Rtools"
+    Start-Process -FilePath Rtools.exe -NoNewWindow -Wait -ArgumentList "/VERYSILENT /DIR=$env:R_LIB_PATH/Rtools" ; Check-Output $?
+    Write-Output "Done installing Rtools"
+
+    # download Miktex
+    Write-Output "Downloading MiKTeX"
+    Download-File-With-Retries -url "https://miktex.org/download/win/miktexsetup-x64.zip" -destfile "miktexsetup-x64.zip"
+    Add-Type -AssemblyName System.IO.Compression.FileSystem
+    [System.IO.Compression.ZipFile]::ExtractToDirectory("miktexsetup-x64.zip", "miktex")
+    Write-Output "Setting up MiKTeX"
+    .\miktex\miktexsetup.exe --local-package-repository=./miktex/download --package-set=essential --quiet download ; Check-Output $?
+    Write-Output "Installing MiKTeX"
+    .\miktex\download\miktexsetup.exe --portable="$env:R_LIB_PATH/miktex" --quiet install ; Check-Output $?
+    Write-Output "Done installing R, Rtools, and MiKTeX"
+}
+
+initexmf --set-config-value [MPM]AutoInstall=1
+conda install -y --no-deps pandoc
+
+Add-Content .Renviron "R_LIBS=$env:R_LIB_PATH"
+Add-Content .Rprofile "options(repos = 'https://cran.rstudio.com')"
+Add-Content .Rprofile "options(pkgType = 'binary')"
+Add-Content .Rprofile "options(install.packages.check.source = 'no')"
+
+Write-Output "Installing dependencies"
+Rscript.exe -e "install.packages(c('data.table', 'jsonlite', 'Matrix', 'R6', 'testthat'), dependencies = c('Imports', 'Depends', 'LinkingTo'), lib = '$env:R_LIB_PATH')" ; Check-Output $?
+
+Write-Output "Building R package"
+Rscript build_r.R ; Check-Output $?
+
+$PKG_FILE_NAME = Get-Item *.tar.gz
+$PKG_NAME = $PKG_FILE_NAME.BaseName.split("_")[0]
+$LOG_FILE_NAME = "$PKG_NAME.Rcheck/00check.log"
+
+Write-Output "Running R CMD check"
+$env:_R_CHECK_FORCE_SUGGESTS_=0
+R.exe CMD check "${PKG_FILE_NAME}" --as-cran --no-multiarch; Check-Output $?
+
+if (Get-Content "$LOG_FILE_NAME" | Select-String -Pattern "WARNING" -Quiet) {
+    echo "WARNINGS have been found by R CMD check!"
+    Check-Output $False
+}
+
+Exit 0
diff --git a/.ci/test_windows.ps1 b/.ci/test_windows.ps1
index 741a1a5c6f3f..e724be4cc48b 100644
--- a/.ci/test_windows.ps1
+++ b/.ci/test_windows.ps1
@@ -11,16 +11,19 @@ if (Test-Path env:APPVEYOR) {
   $env:BUILD_SOURCESDIRECTORY = $env:APPVEYOR_BUILD_FOLDER
 }
 
-# setup for Python
-if ($env:TASK -ne "r-package") {
-  conda init powershell
-  conda activate
-  conda config --set always_yes yes --set changeps1 no
-  conda update -q -y conda
-  conda create -q -y -n $env:CONDA_ENV python=$env:PYTHON_VERSION joblib matplotlib numpy pandas psutil pytest python-graphviz "scikit-learn<=0.21.3" scipy wheel ; Check-Output $?
-  conda activate $env:CONDA_ENV
+if ($env:TASK -eq "r-package") {
+  & $env:BUILD_SOURCESDIRECTORY\.ci\test_r_package_windows.ps1 ; Check-Output $?
+  Exit 0
 }
 
+# setup for Python
+conda init powershell
+conda activate
+conda config --set always_yes yes --set changeps1 no
+conda update -q -y conda
+conda create -q -y -n $env:CONDA_ENV python=$env:PYTHON_VERSION joblib matplotlib numpy pandas psutil pytest python-graphviz "scikit-learn<=0.21.3" scipy wheel ; Check-Output $?
+conda activate $env:CONDA_ENV
+
 if ($env:TASK -eq "regular") {
   mkdir $env:BUILD_SOURCESDIRECTORY/build; cd $env:BUILD_SOURCESDIRECTORY/build
   cmake -A x64 .. ; cmake --build . --target ALL_BUILD --config Release ; Check-Output $?
@@ -57,10 +60,8 @@ elseif ($env:TASK -eq "bdist") {
   }
 }
 
-if ($env:TASK -ne "r-package") {
-  $tests = $env:BUILD_SOURCESDIRECTORY + $(If (($env:TASK -eq "sdist") -or ($env:TASK -eq "appveyor-python")) {"/tests/python_package_test"} Else {"/tests"})  # cannot test C API with "sdist" task
-  pytest $tests ; Check-Output $?
-}
+$tests = $env:BUILD_SOURCESDIRECTORY + $(If (($env:TASK -eq "sdist") -or ($env:TASK -eq "appveyor-python")) {"/tests/python_package_test"} Else {"/tests"})  # cannot test C API with "sdist" task
+pytest $tests ; Check-Output $?
 
 if (($env:TASK -eq "regular") -or ($env:TASK -eq "appveyor-python")) {
   cd $env:BUILD_SOURCESDIRECTORY/examples/python-guide
@@ -74,78 +75,3 @@ if (($env:TASK -eq "regular") -or ($env:TASK -eq "appveyor-python")) {
   conda install -q -y -n $env:CONDA_ENV ipywidgets notebook
   jupyter nbconvert --ExecutePreprocessor.timeout=180 --to notebook --execute --inplace *.ipynb ; Check-Output $?  # run all notebooks
 }
-
-# test R package
-if ($env:TASK -eq "r-package"){
-
-  $env:R_LIB_PATH = "C:/RLibrary"
-  $env:PATH = "$env:R_LIB_PATH/Rtools/bin;" + "$env:R_LIB_PATH/R/bin/x64;" + "$env:R_LIB_PATH/miktex/texmfs/install/miktex/bin/x64;" + $env:PATH
-  $env:BINPREF = "C:/mingw-w64/x86_64-8.1.0-posix-seh-rt_v6-rev0/mingw64/bin/"
-
-  cd $env:BUILD_SOURCESDIRECTORY
-  tzutil /s "GMT Standard Time"
-  [Void][System.IO.Directory]::CreateDirectory($env:R_LIB_PATH)
-
-  if ($env:COMPILER -eq "MINGW") {
-    Write-Output "Telling R to use MinGW"
-    $install_libs = "$env:BUILD_SOURCESDIRECTORY\R-package\src\install.libs.R"
-    ((Get-Content -path $install_libs -Raw) -replace 'use_mingw <- FALSE','use_mingw <- TRUE') | Set-Content -Path $install_libs
-  }
-
-  # set up R if it doesn't exist yet
-  if (!(Get-Command R.exe -errorAction SilentlyContinue)) {
-
-      Write-Output "Downloading R and Rtools"
-
-      # download R and RTools
-      (New-Object System.Net.WebClient).DownloadFile("https://cloud.r-project.org/bin/windows/base/old/$env:R_WINDOWS_VERSION/R-$env:R_WINDOWS_VERSION-win.exe", "R-win.exe")
-      (New-Object System.Net.WebClient).DownloadFile("https://cloud.r-project.org/bin/windows/Rtools/Rtools35.exe", "Rtools.exe")
-
-      # Install R
-      Write-Output "Installing R"
-      Start-Process -FilePath R-win.exe -NoNewWindow -Wait -ArgumentList "/VERYSILENT /DIR=$env:R_LIB_PATH/R /COMPONENTS=main,x64" ; Check-Output $?
-      Write-Output "Done installing R"
-
-      Write-Output "Installing Rtools"
-      Start-Process -FilePath Rtools.exe -NoNewWindow -Wait -ArgumentList "/VERYSILENT /DIR=$env:R_LIB_PATH/Rtools" ; Check-Output $?
-      Write-Output "Done installing Rtools"
-
-      # download Miktex
-      Write-Output "Downloading MiKTeX"
-      (New-Object System.Net.WebClient).DownloadFile("https://miktex.org/download/win/miktexsetup-x64.zip", "miktexsetup-x64.zip")
-      Add-Type -AssemblyName System.IO.Compression.FileSystem
-      [System.IO.Compression.ZipFile]::ExtractToDirectory("miktexsetup-x64.zip", "miktex")
-      Write-Output "Setting up MiKTeX"
-      .\miktex\miktexsetup.exe --local-package-repository=./miktex/download --package-set=essential --quiet download ; Check-Output $?
-      Write-Output "Installing MiKTeX"
-      .\miktex\download\miktexsetup.exe --portable="$env:R_LIB_PATH/miktex" --quiet install ; Check-Output $?
-      Write-Output "Done installing R, Rtools, and MiKTeX"
-  }
-
-  initexmf --set-config-value [MPM]AutoInstall=1
-  conda install -y --no-deps pandoc
-
-  Add-Content .Renviron "R_LIBS=$env:R_LIB_PATH"
-  Add-Content .Rprofile "options(repos = 'https://cran.rstudio.com')"
-  Add-Content .Rprofile "options(pkgType = 'binary')"
-  Add-Content .Rprofile "options(install.packages.check.source = 'no')"
-
-  Write-Output "Installing dependencies"
-  Rscript.exe -e "install.packages(c('data.table', 'jsonlite', 'Matrix', 'R6', 'testthat'), dependencies = c('Imports', 'Depends', 'LinkingTo'), lib = '$env:R_LIB_PATH')" ; Check-Output $?
-
-  Write-Output "Building R package"
-  Rscript build_r.R ; Check-Output $?
-
-  $PKG_FILE_NAME = Get-Item *.tar.gz
-  $PKG_NAME = $PKG_FILE_NAME.BaseName.split("_")[0]
-  $LOG_FILE_NAME = "$PKG_NAME.Rcheck/00check.log"
-
-  Write-Output "Running R CMD check"
-  $env:_R_CHECK_FORCE_SUGGESTS_=0
-  R.exe CMD check "${PKG_FILE_NAME}" --as-cran --no-multiarch; Check-Output $?
-
-  if (Get-Content "$LOG_FILE_NAME" | Select-String -Pattern "WARNING" -Quiet) {
-      echo "WARNINGS have been found by R CMD check!"
-      Check-Output $False
-  }
-}
diff --git a/CMakeLists.txt b/CMakeLists.txt
index 895f2dd26fce..b28fade32694 100644
--- a/CMakeLists.txt
+++ b/CMakeLists.txt
@@ -308,8 +308,14 @@ if(WIN32 AND (MINGW OR CYGWIN))
 endif()
 
 if(BUILD_FOR_R)
+  if(MSVC)
+    # https://docs.microsoft.com/en-us/cpp/build/reference/link-input-files?redirectedfrom=MSDN&view=vs-2019
+    TARGET_LINK_LIBRARIES(lightgbm ${CMAKE_CURRENT_BINARY_DIR}/R.lib)
+    TARGET_LINK_LIBRARIES(_lightgbm ${CMAKE_CURRENT_BINARY_DIR}/R.lib)
+  else()
     TARGET_LINK_LIBRARIES(lightgbm ${LIBR_CORE_LIBRARY})
     TARGET_LINK_LIBRARIES(_lightgbm ${LIBR_CORE_LIBRARY})
+  endif()
 endif(BUILD_FOR_R)
 
 install(TARGETS lightgbm _lightgbm
diff --git a/R-package/src/cmake/modules/FindLibR.cmake b/R-package/src/cmake/modules/FindLibR.cmake
index 20c0a974e1ff..9716f99ae3b3 100644
--- a/R-package/src/cmake/modules/FindLibR.cmake
+++ b/R-package/src/cmake/modules/FindLibR.cmake
@@ -10,7 +10,6 @@
 #  LIBR_HOME
 #  LIBR_EXECUTABLE
 #  LIBR_INCLUDE_DIRS
-#  LIBR_LIB_DIR
 #  LIBR_CORE_LIBRARY
 # and a CMake function to create R.lib for MSVC
 
@@ -36,8 +35,8 @@ function(create_rlib_for_msvc)
     message(FATAL_ERROR "create_rlib_for_msvc() can only be used with MSVC")
   endif()
 
-  if(NOT EXISTS "${LIBR_LIB_DIR}")
-    message(FATAL_ERROR "LIBR_LIB_DIR, '${LIBR_LIB_DIR}', not found")
+  if(NOT EXISTS "${LIBR_CORE_LIBRARY}")
+    message(FATAL_ERROR "LIBR_CORE_LIBRARY, '${LIBR_CORE_LIBRARY}', not found")
   endif()
 
   find_program(GENDEF_EXE gendef)
@@ -50,7 +49,8 @@ function(create_rlib_for_msvc)
 
   # extract symbols from R.dll into R.def and R.lib import library
   execute_process(COMMAND ${GENDEF_EXE}
-    "-" "${LIBR_LIB_DIR}/R.dll"
+    #"-" "${LIBR_LIB_DIR}/R.dll"
+    "-" "${LIBR_CORE_LIBRARY}"
     OUTPUT_FILE "${CMAKE_CURRENT_BINARY_DIR}/R.def"
   )
   execute_process(COMMAND ${DLLTOOL_EXE}
@@ -168,25 +168,28 @@ execute_process(
   OUTPUT_VARIABLE LIBR_INCLUDE_DIRS
 )
 
-# ask R for the lib dir
-execute_process(
-  COMMAND ${LIBR_EXECUTABLE} "--slave" "--vanilla" "-e" "cat(normalizePath(R.home('lib'), winslash='/'))"
-  OUTPUT_VARIABLE LIBR_LIB_DIR
-)
-
-# look for the core R library
-find_library(
-  LIBR_CORE_LIBRARY
-  NAMES R
-  HINTS "${CMAKE_CURRENT_BINARY_DIR}" "${LIBR_LIB_DIR}" "${LIBR_HOME}/bin" "${LIBR_LIBRARIES}"
-)
-
 set(LIBR_HOME ${LIBR_HOME} CACHE PATH "R home directory")
 set(LIBR_EXECUTABLE ${LIBR_EXECUTABLE} CACHE PATH "R executable")
 set(LIBR_INCLUDE_DIRS ${LIBR_INCLUDE_DIRS} CACHE PATH "R include directory")
-set(LIBR_LIB_DIR ${LIBR_LIB_DIR} CACHE PATH "R shared libraries directory")
+
+# look for the core R library
+if(WIN32)
+  set(LIBR_CORE_LIBRARY ${LIBR_HOME}/bin/${R_ARCH}/R.dll)
+else()
+  find_library(
+    LIBR_CORE_LIBRARY
+    NAMES R
+    HINTS "${CMAKE_CURRENT_BINARY_DIR}" "${LIBR_HOME}/lib" "${LIBR_HOME}/bin/${R_ARCH}" "${LIBR_HOME}/bin" "${LIBR_LIBRARIES}"
+  )
+endif()
+
 set(LIBR_CORE_LIBRARY ${LIBR_CORE_LIBRARY} CACHE PATH "R core shared library")
 
+message(STATUS "LIBR_EXECUTABLE: ${LIBR_EXECUTABLE}")
+message(STATUS "LIBR_HOME: ${LIBR_HOME}")
+message(STATUS "LIBR_INCLUDE_DIRS: ${LIBR_INCLUDE_DIRS}")
+message(STATUS "LIBR_CORE_LIBRARY: ${LIBR_CORE_LIBRARY}")
+
 if(WIN32 AND MSVC)
 
   # create a local R.lib import library for R.dll if it doesn't exist
@@ -203,6 +206,5 @@ find_package_handle_standard_args(LibR DEFAULT_MSG
   LIBR_HOME
   LIBR_EXECUTABLE
   LIBR_INCLUDE_DIRS
-  LIBR_LIB_DIR
   LIBR_CORE_LIBRARY
 )
diff --git a/R-package/src/install.libs.R b/R-package/src/install.libs.R
index f6d2335b2cd8..bf4eb8ab1169 100644
--- a/R-package/src/install.libs.R
+++ b/R-package/src/install.libs.R
@@ -67,6 +67,7 @@ if (!use_precompile) {
   # Check if Windows installation (for gcc vs Visual Studio)
   if (WINDOWS) {
     if (use_mingw) {
+      print("Trying to build with MinGW")
       cmake_cmd <- paste0(cmake_cmd, " -G \"MinGW Makefiles\" ")
       build_cmd <- "mingw32-make.exe _lightgbm"
       system(paste0(cmake_cmd, " ..")) # Must build twice for Windows due sh.exe in Rtools