diff --git a/ci/docker/alpine-linux-3.16-cpp.dockerfile b/ci/docker/alpine-linux-3.16-cpp.dockerfile
index f269fa548c141..cf63acfb249b6 100644
--- a/ci/docker/alpine-linux-3.16-cpp.dockerfile
+++ b/ci/docker/alpine-linux-3.16-cpp.dockerfile
@@ -95,6 +95,7 @@ ENV ARROW_ACERO=ON \
     ARROW_WITH_ZLIB=ON \
     ARROW_WITH_ZSTD=ON \
     AWSSDK_SOURCE=BUNDLED \
+    AZURE_SDK_SOURCE=BUNDLED \
     google_cloud_cpp_storage_SOURCE=BUNDLED \
     ORC_SOURCE=BUNDLED \
     PATH=/usr/lib/ccache/:$PATH \
diff --git a/ci/docker/debian-11-cpp.dockerfile b/ci/docker/debian-11-cpp.dockerfile
index 00adc6bd6b3c9..a94922a051910 100644
--- a/ci/docker/debian-11-cpp.dockerfile
+++ b/ci/docker/debian-11-cpp.dockerfile
@@ -117,6 +117,7 @@ ENV absl_SOURCE=BUNDLED \
     ARROW_WITH_ZLIB=ON \
     ARROW_WITH_ZSTD=ON \
     AWSSDK_SOURCE=BUNDLED \
+    AZURE_SDK_SOURCE=BUNDLED \
     CC=gcc \
     CXX=g++ \
     google_cloud_cpp_storage_SOURCE=BUNDLED \
diff --git a/ci/docker/fedora-35-cpp.dockerfile b/ci/docker/fedora-35-cpp.dockerfile
index 668e35b4435ba..53ce2a5e12aac 100644
--- a/ci/docker/fedora-35-cpp.dockerfile
+++ b/ci/docker/fedora-35-cpp.dockerfile
@@ -96,6 +96,7 @@ ENV absl_SOURCE=BUNDLED \
     ARROW_WITH_ZLIB=ON \
     ARROW_WITH_ZSTD=ON \
     AWSSDK_SOURCE=BUNDLED \
+    AZURE_SDK_SOURCE=BUNDLED \
     CC=gcc \
     CXX=g++ \
     google_cloud_cpp_storage_SOURCE=BUNDLED \
diff --git a/ci/docker/ubuntu-20.04-cpp.dockerfile b/ci/docker/ubuntu-20.04-cpp.dockerfile
index bb487f6a5f7d8..2b1f11f43adf4 100644
--- a/ci/docker/ubuntu-20.04-cpp.dockerfile
+++ b/ci/docker/ubuntu-20.04-cpp.dockerfile
@@ -173,6 +173,7 @@ ENV absl_SOURCE=BUNDLED \
     ARROW_WITH_ZSTD=ON \
     ASAN_SYMBOLIZER_PATH=/usr/lib/llvm-${llvm}/bin/llvm-symbolizer \
     AWSSDK_SOURCE=BUNDLED \
+    AZURE_SDK_SOURCE=BUNDLED \
     google_cloud_cpp_storage_SOURCE=BUNDLED \
     gRPC_SOURCE=BUNDLED \
     GTest_SOURCE=BUNDLED \
diff --git a/ci/docker/ubuntu-22.04-cpp.dockerfile b/ci/docker/ubuntu-22.04-cpp.dockerfile
index aa313bc0e8a58..cb169afb4d109 100644
--- a/ci/docker/ubuntu-22.04-cpp.dockerfile
+++ b/ci/docker/ubuntu-22.04-cpp.dockerfile
@@ -200,6 +200,7 @@ ENV absl_SOURCE=BUNDLED \
     ARROW_WITH_ZSTD=ON \
     ASAN_SYMBOLIZER_PATH=/usr/lib/llvm-${llvm}/bin/llvm-symbolizer \
     AWSSDK_SOURCE=BUNDLED \
+    AZURE_SDK_SOURCE=BUNDLED \
     google_cloud_cpp_storage_SOURCE=BUNDLED \
     GTest_SOURCE=BUNDLED \
     ORC_SOURCE=BUNDLED \
diff --git a/ci/scripts/cpp_build.sh b/ci/scripts/cpp_build.sh
index e53b3fa460915..5f6ce48566cf4 100755
--- a/ci/scripts/cpp_build.sh
+++ b/ci/scripts/cpp_build.sh
@@ -151,6 +151,7 @@ cmake \
   -DARROW_WITH_ZLIB=${ARROW_WITH_ZLIB:-OFF} \
   -DARROW_WITH_ZSTD=${ARROW_WITH_ZSTD:-OFF} \
   -DAWSSDK_SOURCE=${AWSSDK_SOURCE:-} \
+  -DAZURE_SDK_SOURCE=${AZURE_SDK_SOURCE:-} \
   -Dbenchmark_SOURCE=${benchmark_SOURCE:-} \
   -DBOOST_SOURCE=${BOOST_SOURCE:-} \
   -DBrotli_SOURCE=${Brotli_SOURCE:-} \