diff --git a/tools/appveyor.psm1 b/tools/appveyor.psm1
index 7e68346018..ecb6a30a6e 100644
--- a/tools/appveyor.psm1
+++ b/tools/appveyor.psm1
@@ -445,6 +445,7 @@ function Get-ReleaseTag
 # Implements AppVeyor 'on_finish' step
 function Invoke-AppveyorFinish
 {
+    $exitCode = 0
     try {
         $releaseTag = Get-ReleaseTag
 
@@ -474,6 +475,19 @@ function Invoke-AppveyorFinish
             $preReleaseVersion = "$previewPrefix-$previewLabel.$env:APPVEYOR_BUILD_NUMBER"
         }
 
+        # Smoke Test MSI installer
+        Write-Verbose "Smoke-Testing MSI installer" -Verbose
+        $msi = $artifacts | Where-Object { $_.EndsWith(".msi") }
+        $msiLog = Join-Path (Get-Location) 'msilog.txt'
+        $msiExecProcess = Start-Process msiexec.exe -Wait -ArgumentList "/I $msi /quiet /l*vx $msiLog" -NoNewWindow -PassThru
+        if ($msiExecProcess.ExitCode -ne 0)
+        {
+            Push-AppveyorArtifact msiLog.txt
+            $exitCode = $msiExecProcess.ExitCode
+            throw "MSI installer failed and returned error code $exitCode. MSI Log was uploaded as artifact."
+        }
+        Write-Verbose "MSI smoke test was successful" -Verbose
+
         # only publish assembly nuget packages if it is a daily build and tests passed
         if((Test-DailyBuild) -and $env:TestPassed -eq 'True')
         {
@@ -527,4 +541,13 @@ function Invoke-AppveyorFinish
     catch {
         Write-Host -Foreground Red $_
     }
+    finally {
+        # A throw statement would not make the build fail. This function is AppVeyor specific
+        # and is the only command executed in 'on_finish' phase, so it's safe that we request
+        # the current runspace to exit with the specified exit code. If the exit code is non-zero,
+        # AppVeyor will fail the build.
+        # See this link for details:
+        # https://help.appveyor.com/discussions/problems/4498-powershell-exception-in-test_script-does-not-fail-build
+        $host.SetShouldExit($exitCode)
+    }
 }