diff --git a/cpp/src/arrow/filesystem/azurefs_test.cc b/cpp/src/arrow/filesystem/azurefs_test.cc
index 9ee7db4d7857c..e940c5bd1bc32 100644
--- a/cpp/src/arrow/filesystem/azurefs_test.cc
+++ b/cpp/src/arrow/filesystem/azurefs_test.cc
@@ -15,8 +15,25 @@
 // specific language governing permissions and limitations
 // under the License.
 
-#include "arrow/filesystem/azurefs.h"
+#include <algorithm>  // Missing include in boost/process
+
+// This boost/asio/io_context.hpp include is needless for no MinGW
+// build.
+//
+// This is for including boost/asio/detail/socket_types.hpp before any
+// "#include <windows.h>". boost/asio/detail/socket_types.hpp doesn't
+// work if windows.h is already included. boost/process.h ->
+// boost/process/args.hpp -> boost/process/detail/basic_cmd.hpp
+// includes windows.h. boost/process/args.hpp is included before
+// boost/process/async.h that includes
+// boost/asio/detail/socket_types.hpp implicitly is included.
+#include <boost/asio/io_context.hpp>
+// We need BOOST_USE_WINDOWS_H definition with MinGW when we use
+// boost/process.hpp. See BOOST_USE_WINDOWS_H=1 in
+// cpp/cmake_modules/ThirdpartyToolchain.cmake for details.
 #include <boost/process.hpp>
+
+#include "arrow/filesystem/azurefs.h"
 #include "arrow/util/io_util.h"
 
 #include <gmock/gmock-matchers.h>