diff --git a/appveyor.yml b/appveyor.yml
index a039811..a55a4e2 100644
--- a/appveyor.yml
+++ b/appveyor.yml
@@ -49,6 +49,7 @@ build_script:
   - IF "%USE_CACHE%" EQU "1" appveyor\setup_from_cache.cmd
   - IF "%USE_CACHE%" NEQ "1" appveyor\install_zlib.cmd
   - IF "%USE_CACHE%" NEQ "1" appveyor\install_lzma.cmd
+  - IF "%USE_CACHE%" NEQ "1" appveyor\install_zstd.cmd
   - IF "%USE_CACHE%" NEQ "1" appveyor\install_libcurl.cmd
   - IF "%USE_CACHE%" NEQ "1" appveyor\install_pthread.cmd
   - IF "%USE_CACHE%" NEQ "1" appveyor\install_dirent.cmd
diff --git a/appveyor/install_zstd.cmd b/appveyor/install_zstd.cmd
new file mode 100644
index 0000000..6529d63
--- /dev/null
+++ b/appveyor/install_zstd.cmd
@@ -0,0 +1,10 @@
+REM ========================================================
+REM Install zstd
+curl -fsSL -o zstd-v1.4.4.zip https://github.com/facebook/zstd/archive/v1.4.4.zip || exit /b 1
+7z x zstd-v1.4.4.zip || exit /b 1
+cd zstd-1.4.4/build/meson
+meson . builddir --prefix %EXTRA_DIR% --default-library static --buildtype release -Dbin_programs=false -Dbin_contrib=false || exit /b 1
+cd builddir
+ninja || exit /b 1
+ninja install || exit /b 1
+cd ..\..\..\..