diff --git a/.github/workflows/cpp_windows.yml b/.github/workflows/cpp_windows.yml
index 69bbfee28b9..3e1f2b4181e 100644
--- a/.github/workflows/cpp_windows.yml
+++ b/.github/workflows/cpp_windows.yml
@@ -41,12 +41,14 @@ jobs:
     runs-on: ${{ inputs.os }}
     timeout-minutes: 60
     env:
+      ARROW_AZURE: ON
       ARROW_BOOST_USE_SHARED: OFF
       ARROW_BUILD_BENCHMARKS: ON
       ARROW_BUILD_SHARED: ON
       ARROW_BUILD_STATIC: OFF
       ARROW_BUILD_TESTS: ON
       ARROW_DATASET: ON
+      ARROW_FILESYSTEM: ON
       ARROW_FLIGHT: OFF
       ARROW_HDFS: ON
       ARROW_HOME: /usr
diff --git a/cpp/cmake_modules/ThirdpartyToolchain.cmake b/cpp/cmake_modules/ThirdpartyToolchain.cmake
index b95d6491457..f6027acf8bf 100644
--- a/cpp/cmake_modules/ThirdpartyToolchain.cmake
+++ b/cpp/cmake_modules/ThirdpartyToolchain.cmake
@@ -813,6 +813,13 @@ else()
   )
 endif()
 
+if(DEFINED ENV{ARROW_WIL_URL})
+  set(ARROW_WIL_URL "$ENV{ARROW_WIL_URL}")
+else()
+  set_urls(ARROW_WIL_URL
+           "https://github.com/microsoft/wil/archive/${ARROW_WIL_BUILD_VERSION}.tar.gz")
+endif()
+
 if(DEFINED ENV{ARROW_XSIMD_URL})
   set(XSIMD_SOURCE_URL "$ENV{ARROW_XSIMD_URL}")
 else()
@@ -4054,6 +4061,21 @@ endif()
 
 function(build_azure_sdk)
   message(STATUS "Building Azure SDK for C++ from source")
+
+  # On Windows, Azure SDK's WinHTTP transport requires WIL (Windows Implementation Libraries).
+  # Fetch WIL before Azure SDK so the WIL::WIL target is available.
+  if(WIN32)
+    message(STATUS "Fetching WIL (Windows Implementation Libraries) for Azure SDK")
+    fetchcontent_declare(wil
+                         ${FC_DECLARE_COMMON_OPTIONS} OVERRIDE_FIND_PACKAGE
+                         URL ${ARROW_WIL_URL}
+                         URL_HASH "SHA256=${ARROW_WIL_BUILD_SHA256_CHECKSUM}")
+    prepare_fetchcontent()
+    set(WIL_BUILD_PACKAGING OFF)
+    set(WIL_BUILD_TESTS OFF)
+    fetchcontent_makeavailable(wil)
+  endif()
+
   fetchcontent_declare(azure_sdk
                        ${FC_DECLARE_COMMON_OPTIONS}
                        URL ${ARROW_AZURE_SDK_URL}
diff --git a/cpp/src/arrow/filesystem/azurefs.cc b/cpp/src/arrow/filesystem/azurefs.cc
index 6580476d38c..5500d1845b0 100644
--- a/cpp/src/arrow/filesystem/azurefs.cc
+++ b/cpp/src/arrow/filesystem/azurefs.cc
@@ -970,7 +970,7 @@ Status StageBlock(Blobs::BlockBlobClient* block_blob_client, const std::string&
 /// Writes will be buffered up to this size (in bytes) before actually uploading them.
 static constexpr int64_t kBlockUploadSizeBytes = 10 * 1024 * 1024;
 /// The maximum size of a block in Azure Blob (as per docs).
-static constexpr int64_t kMaxBlockSizeBytes = 4UL * 1024 * 1024 * 1024;
+static constexpr int64_t kMaxBlockSizeBytes = 4LL * 1024 * 1024 * 1024;
 
 /// This output stream, similar to other arrow OutputStreams, is not thread-safe.
 class ObjectAppendStream final : public io::OutputStream {
@@ -1362,7 +1362,7 @@ Result<HNSSupport> CheckIfHierarchicalNamespaceIsEnabled(
     // without hierarchical namespace enabled.
     directory_client.GetAccessControlList();
     return HNSSupport::kEnabled;
-  } catch (std::out_of_range& exception) {
+  } catch (const std::out_of_range&) {
     // Azurite issue detected.
     DCHECK(IsDfsEmulator(options));
     return HNSSupport::kDisabled;
@@ -2499,7 +2499,7 @@ class AzureFileSystem::Impl {
           try {
             auto delete_result = deferred_response.GetResponse();
             success = delete_result.Value.Deleted;
-          } catch (const Core::RequestFailedException& exception) {
+          } catch (const Core::RequestFailedException&) {
             success = false;
           }
           if (!success) {
@@ -3218,6 +3218,8 @@ class AzureFileSystem::Impl {
 std::atomic<LeaseGuard::SteadyClock::time_point> LeaseGuard::latest_known_expiry_time_ =
     SteadyClock::time_point{SteadyClock::duration::zero()};
 
+AzureFileSystem::~AzureFileSystem() = default;
+
 AzureFileSystem::AzureFileSystem(std::unique_ptr<Impl>&& impl)
     : FileSystem(impl->io_context()), impl_(std::move(impl)) {
   default_async_is_sync_ = false;
diff --git a/cpp/src/arrow/filesystem/azurefs.h b/cpp/src/arrow/filesystem/azurefs.h
index ee0956afdd7..ae374d487b1 100644
--- a/cpp/src/arrow/filesystem/azurefs.h
+++ b/cpp/src/arrow/filesystem/azurefs.h
@@ -251,7 +251,7 @@ class ARROW_EXPORT AzureFileSystem : public FileSystem {
   void ForceCachedHierarchicalNamespaceSupport(int hns_support);
 
  public:
-  ~AzureFileSystem() override = default;
+  ~AzureFileSystem() override;
 
   static Result<std::shared_ptr<AzureFileSystem>> Make(
       const AzureOptions& options, const io::IOContext& = io::default_io_context());
diff --git a/cpp/thirdparty/versions.txt b/cpp/thirdparty/versions.txt
index 442cde2c9c0..d94bf652ee8 100644
--- a/cpp/thirdparty/versions.txt
+++ b/cpp/thirdparty/versions.txt
@@ -114,6 +114,9 @@ ARROW_THRIFT_BUILD_VERSION=0.22.0
 ARROW_THRIFT_BUILD_SHA256_CHECKSUM=794a0e455787960d9f27ab92c38e34da27e8deeda7a5db0e59dc64a00df8a1e5
 ARROW_UTF8PROC_BUILD_VERSION=v2.10.0
 ARROW_UTF8PROC_BUILD_SHA256_CHECKSUM=6f4f1b639daa6dca9f80bc5db1233e9cbaa31a67790887106160b33ef743f136
+# WIL (Windows Implementation Libraries) is required by Azure SDK on Windows for WinHTTP transport
+ARROW_WIL_BUILD_VERSION=v1.0.250325.1
+ARROW_WIL_BUILD_SHA256_CHECKSUM=c9e667d5f86ded43d17b5669d243e95ca7b437e3a167c170805ffd4aa8a9a786
 ARROW_XSIMD_BUILD_VERSION=14.0.0
 ARROW_XSIMD_BUILD_SHA256_CHECKSUM=17de0236954955c10c09d6938d4c5f3a3b92d31be5dadd1d5d09fc1b15490dce
 ARROW_ZLIB_BUILD_VERSION=1.3.1
@@ -142,6 +145,7 @@ DEPENDENCIES=(
   "ARROW_AWS_CRT_CPP_URL aws-crt-cpp-${ARROW_AWS_CRT_CPP_BUILD_VERSION}.tar.gz https://github.com/awslabs/aws-crt-cpp/archive/${ARROW_AWS_CRT_CPP_BUILD_VERSION}.tar.gz"
   "ARROW_AWS_LC_URL aws-lc-${ARROW_AWS_LC_BUILD_VERSION}.tar.gz https://github.com/awslabs/aws-lc/archive/${ARROW_AWS_LC_BUILD_VERSION}.tar.gz"
   "ARROW_AWSSDK_URL aws-sdk-cpp-${ARROW_AWSSDK_BUILD_VERSION}.tar.gz https://github.com/aws/aws-sdk-cpp/archive/${ARROW_AWSSDK_BUILD_VERSION}.tar.gz"
+  "ARROW_AZURE_SDK_URL azure-sdk-for-cpp-${ARROW_AZURE_SDK_BUILD_VERSION}.tar.gz https://github.com/Azure/azure-sdk-for-cpp/archive/${ARROW_AZURE_SDK_BUILD_VERSION}.tar.gz"
   "ARROW_BOOST_URL boost-${ARROW_BOOST_BUILD_VERSION}-cmake.tar.gz https://github.com/boostorg/boost/releases/download/boost-${ARROW_BOOST_BUILD_VERSION}/boost-${ARROW_BOOST_BUILD_VERSION}-cmake.tar.gz"
   "ARROW_BROTLI_URL brotli-${ARROW_BROTLI_BUILD_VERSION}.tar.gz https://github.com/google/brotli/archive/${ARROW_BROTLI_BUILD_VERSION}.tar.gz"
   "ARROW_BZIP2_URL bzip2-${ARROW_BZIP2_BUILD_VERSION}.tar.gz https://sourceware.org/pub/bzip2/bzip2-${ARROW_BZIP2_BUILD_VERSION}.tar.gz"
@@ -168,6 +172,7 @@ DEPENDENCIES=(
   "ARROW_SUBSTRAIT_URL substrait-${ARROW_SUBSTRAIT_BUILD_VERSION}.tar.gz https://github.com/substrait-io/substrait/archive/${ARROW_SUBSTRAIT_BUILD_VERSION}.tar.gz"
   "ARROW_THRIFT_URL thrift-${ARROW_THRIFT_BUILD_VERSION}.tar.gz https://www.apache.org/dyn/closer.lua/thrift/${ARROW_THRIFT_BUILD_VERSION}/thrift-${ARROW_THRIFT_BUILD_VERSION}.tar.gz?action=download"
   "ARROW_UTF8PROC_URL utf8proc-${ARROW_UTF8PROC_BUILD_VERSION}.tar.gz https://github.com/JuliaStrings/utf8proc/archive/${ARROW_UTF8PROC_BUILD_VERSION}.tar.gz"
+  "ARROW_WIL_URL wil-${ARROW_WIL_BUILD_VERSION}.tar.gz https://github.com/microsoft/wil/archive/refs/tags/${ARROW_WIL_BUILD_VERSION}.tar.gz"
   "ARROW_XSIMD_URL xsimd-${ARROW_XSIMD_BUILD_VERSION}.tar.gz https://github.com/xtensor-stack/xsimd/archive/${ARROW_XSIMD_BUILD_VERSION}.tar.gz"
   "ARROW_ZLIB_URL zlib-${ARROW_ZLIB_BUILD_VERSION}.tar.gz https://zlib.net/fossils/zlib-${ARROW_ZLIB_BUILD_VERSION}.tar.gz"
   "ARROW_ZSTD_URL zstd-${ARROW_ZSTD_BUILD_VERSION}.tar.gz https://github.com/facebook/zstd/releases/download/v${ARROW_ZSTD_BUILD_VERSION}/zstd-${ARROW_ZSTD_BUILD_VERSION}.tar.gz"