diff --git a/ci/docker/python-wheel-manylinux.dockerfile b/ci/docker/python-wheel-manylinux.dockerfile
index 0a50d450c225a..e3b0a73966304 100644
--- a/ci/docker/python-wheel-manylinux.dockerfile
+++ b/ci/docker/python-wheel-manylinux.dockerfile
@@ -81,6 +81,7 @@ RUN vcpkg install \
         --clean-after-build \
         --x-install-root=${VCPKG_ROOT}/installed \
         --x-manifest-root=/arrow/ci/vcpkg \
+        --x-feature=azure \ 
         --x-feature=flight \
         --x-feature=gcs \
         --x-feature=json \
diff --git a/ci/scripts/python_wheel_manylinux_build.sh b/ci/scripts/python_wheel_manylinux_build.sh
index 58e42fea88088..4d4d4fb694e0b 100755
--- a/ci/scripts/python_wheel_manylinux_build.sh
+++ b/ci/scripts/python_wheel_manylinux_build.sh
@@ -49,6 +49,7 @@ rm -rf /arrow/python/pyarrow/*.so.*
 
 echo "=== (${PYTHON_VERSION}) Building Arrow C++ libraries ==="
 : ${ARROW_ACERO:=ON}
+: ${ARROW_AZURE:=ON}
 : ${ARROW_DATASET:=ON}
 : ${ARROW_FLIGHT:=ON}
 : ${ARROW_GANDIVA:=OFF}
@@ -87,6 +88,7 @@ pushd /tmp/arrow-build
 
 cmake \
     -DARROW_ACERO=${ARROW_ACERO} \
+    -DARROW_AZURE=${ARROW_AZURE} \
     -DARROW_BUILD_SHARED=ON \
     -DARROW_BUILD_STATIC=OFF \
     -DARROW_BUILD_TESTS=OFF \
@@ -141,6 +143,7 @@ export PYARROW_BUNDLE_ARROW_CPP=1
 export PYARROW_CMAKE_GENERATOR=${CMAKE_GENERATOR}
 export PYARROW_INSTALL_TESTS=1
 export PYARROW_WITH_ACERO=${ARROW_ACERO}
+export PYARROW_WITH_AZURE=${ARROW_AZURE}
 export PYARROW_WITH_DATASET=${ARROW_DATASET}
 export PYARROW_WITH_FLIGHT=${ARROW_FLIGHT}
 export PYARROW_WITH_GANDIVA=${ARROW_GANDIVA}
diff --git a/ci/vcpkg/vcpkg.json b/ci/vcpkg/vcpkg.json
index 71c23165e61f0..c78c550a7cc73 100644
--- a/ci/vcpkg/vcpkg.json
+++ b/ci/vcpkg/vcpkg.json
@@ -102,6 +102,16 @@
         }
       ]
     },
+    "azure": {
+      "description": "Azure blob storage support",
+      "dependencies": [
+        "azure-core-cpp",
+        "azure-identity-cpp",
+        "azure-storage-blobs-cpp",
+        "azure-storage-common-cpp",
+        "azure-storage-files-datalake-cpp"
+      ]
+    },
     "orc": {
       "description": "ORC support",
       "dependencies": [