diff --git a/.ci/msys_build.bat b/.ci/msys_build.bat
new file mode 100644
index 0000000000..bf77b5bd34
--- /dev/null
+++ b/.ci/msys_build.bat
@@ -0,0 +1,24 @@
+echo on
+if "%TARGET%" == "MINGW_32" (
+	set ARCH=i686
+	set BITS=32
+) else (
+	set ARCH=x86_64
+	set BITS=64
+)
+:: We cannot have sh.exe in the PATH (MinGW)
+set PATH=%PATH:C:\Program Files\Git\usr\bin;=%
+set PATH=C:\msys64\mingw%BITS%\bin;C:\Windows\System32;C:\Windows;%PATH%
+
+mkdir build
+cd build
+cmake -G "MinGW Makefiles" -DCMAKE_BUILD_TYPE=Release .. || goto :error
+:: FIXME(equalsraf): for now just build nvim and copy DLLs.
+:: We can't generate the helptags just yet (#810 fixes this)
+mingw32-make nvim_dll_deps VERBOSE=1 || goto :error
+bin\nvim --version || goto :error
+cd ..
+
+goto :EOF
+:error
+exit /b %errorlevel%
diff --git a/.ci/msys_build_deps.bat b/.ci/msys_build_deps.bat
new file mode 100644
index 0000000000..67e7c69883
--- /dev/null
+++ b/.ci/msys_build_deps.bat
@@ -0,0 +1,27 @@
+:: These are native MinGW builds, but they use the toolchain inside
+:: MSYS2, this allows using all the dependencies and tools available
+:: in MSYS2, but we cannot build inside the MSYS2 shell.
+echo on
+if "%TARGET%" == "MINGW_32" (
+	set ARCH=i686
+	set BITS=32
+) else (
+	set ARCH=x86_64
+	set BITS=64
+)
+:: We cannot have sh.exe in the PATH (MinGW)
+set PATH=%PATH:C:\Program Files\Git\usr\bin;=%
+set PATH=C:\msys64\mingw%BITS%\bin;C:\Windows\System32;C:\Windows;%PATH%
+
+C:\msys64\usr\bin\bash -lc "pacman --verbose --noconfirm -Su" || goto :error
+C:\msys64\usr\bin\bash -lc "pacman --verbose --noconfirm --needed -S mingw-w64-%ARCH%-cmake mingw-w64-%ARCH%-perl mingw-w64-%ARCH%-python2 mingw-w64-%ARCH%-diffutils" || goto :error
+
+mkdir .deps
+cd .deps
+cmake -G "MinGW Makefiles" -DCMAKE_BUILD_TYPE=Release ..\third-party\ || goto :error
+mingw32-make VERBOSE=1 || goto :error
+cd ..
+
+goto :EOF
+:error
+exit /b %errorlevel%
diff --git a/appveyor.yml b/appveyor.yml
index c5a768cb41..26008bbed3 100644
--- a/appveyor.yml
+++ b/appveyor.yml
@@ -1,23 +1,27 @@
 version: '{build}'
 skip_tags: true
-os: Windows Server 2012 R2
 environment:
-  GYP_MSVS_VERSION: 2015
+  # The default cpack in the PATH is not CMake
+  CPACK: C:\Program Files (x86)\CMake\bin\cpack.exe
   matrix:
-  - GENERATOR: Visual Studio 14 Win64
-    DEPS_PATH: deps64
-  - GENERATOR: Visual Studio 14
-    DEPS_PATH: deps32
-matrix:
-  # Allow builds to fail
-  allow_failures:
-  - os: Windows Server 2012 R2
+  - TARGET: MINGW_64
+    BUILD_DEPS_SCRIPT: .ci\msys_build_deps.bat
+    BUILD_SCRIPT: .ci\msys_build.bat
+  - TARGET: MINGW_32
+    BUILD_DEPS_SCRIPT: .ci\msys_build_deps.bat
+    BUILD_SCRIPT: .ci\msys_build.bat
 install: []
 build_script:
-# See http://help.appveyor.com/discussions/problems/539-cloning-gyp-fails
-- git config --global url."http://".insteadOf https://
-- mkdir %DEPS_PATH%
-- cd %DEPS_PATH%
-- cmake -G "%GENERATOR%" ..\third-party\
-- cmake --build .
-- cd ..
+- if defined BUILD_DEPS_SCRIPT call %BUILD_DEPS_SCRIPT%
+- call %BUILD_SCRIPT%
+# FIXME(equalsraf): don't generate artifacts until the
+# build script builds the main target, for now pack bin/
+artifacts:
+- path: build/bin
+# Build artifacts
+#- cd build
+#- '"%CPACK%" -G NSIS -C Release'
+#- '"%CPACK%" -G ZIP -C Release'
+#artifacts:
+#- path: build/Neovim.zip
+#- path: build/Neovim.exe