diff --git a/R-package/configure.win b/R-package/configure.win
index e69de29bb2d1..3a01292ab6a3 100644
--- a/R-package/configure.win
+++ b/R-package/configure.win
@@ -0,0 +1,21 @@
+R_EXE="${R_HOME}/bin${R_ARCH_BIN}/R.exe"
+CXX=`"${R_EXE}" CMD config CXX`
+
+cat > test.cpp <<EOL
+#include <xmmintrin.h>
+int main() {
+  char data = 0;
+  const char* address = &data;
+  _mm_prefetch(address, _MM_HINT_NTA);
+  return 0;
+}
+EOL
+
+XGBOOST_MM_PREFETCH_PRESENT=""
+${CXX} -o test test.cpp 2>/dev/null && ./test && XGBOOST_MM_PREFETCH_PRESENT="-DXGBOOST_MM_PREFETCH_PRESENT=1"
+rm -f ./test
+rm -f ./test.cpp
+
+sed \
+    -e "s/@XGBOOST_MM_PREFETCH_PRESENT@/$XGBOOST_MM_PREFETCH_PRESENT/" \
+    < src/Makevars.win.in > src/Makevars.win
diff --git a/R-package/src/Makevars.win b/R-package/src/Makevars.win.in
similarity index 98%
rename from R-package/src/Makevars.win
rename to R-package/src/Makevars.win.in
index 875b3aaca630..8a86ba97c34d 100644
--- a/R-package/src/Makevars.win
+++ b/R-package/src/Makevars.win.in
@@ -22,6 +22,8 @@ PKG_CPPFLAGS = \
     -I$(PKGROOT)/include \
     -I$(PKGROOT)/dmlc-core/include \
     -I$(PKGROOT) \
+    -DXGBOOST_BUILTIN_PREFETCH_PRESENT=1 \
+    @XGBOOST_MM_PREFETCH_PRESENT@ \
     $(XGB_RFLAGS)
 
 PKG_CXXFLAGS = \
diff --git a/ops/script/test_r_package.py b/ops/script/test_r_package.py
index 3ce886c1bc41..ed0d6b1d9faa 100644
--- a/ops/script/test_r_package.py
+++ b/ops/script/test_r_package.py
@@ -63,7 +63,7 @@ def pkgroot(path: str) -> None:
     if os.path.exists(osxmakef):
         os.remove(osxmakef)
     pkgroot("Makevars.in")
-    pkgroot("Makevars.win")
+    pkgroot("Makevars.win.in")
     # misc
     rwsp = Path("R-package") / "remove_warning_suppression_pragma.sh"
     if system() != "Windows":