diff --git a/changelog.d/2040.change.rst b/changelog.d/2040.change.rst
new file mode 100644
index 0000000000..b8f36f6fb4
--- /dev/null
+++ b/changelog.d/2040.change.rst
@@ -0,0 +1 @@
+Deprecated the ``bdist_wininst`` command. Binary packages should be built as wheels instead.
diff --git a/setuptools/command/bdist_wininst.py b/setuptools/command/bdist_wininst.py
index 073de97b46..ff4b634592 100644
--- a/setuptools/command/bdist_wininst.py
+++ b/setuptools/command/bdist_wininst.py
@@ -1,4 +1,7 @@
 import distutils.command.bdist_wininst as orig
+import warnings
+
+from setuptools import SetuptoolsDeprecationWarning
 
 
 class bdist_wininst(orig.bdist_wininst):
@@ -14,6 +17,12 @@ def reinitialize_command(self, command, reinit_subcommands=0):
         return cmd
 
     def run(self):
+        warnings.warn(
+            "bdist_wininst is deprecated and will be removed in a future "
+            "version. Use bdist_wheel (wheel packages) instead.",
+            SetuptoolsDeprecationWarning
+        )
+
         self._is_running = True
         try:
             orig.bdist_wininst.run(self)
diff --git a/setuptools/tests/test_bdist_deprecations.py b/setuptools/tests/test_bdist_deprecations.py
new file mode 100644
index 0000000000..704164aacb
--- /dev/null
+++ b/setuptools/tests/test_bdist_deprecations.py
@@ -0,0 +1,23 @@
+"""develop tests
+"""
+import mock
+
+import pytest
+
+from setuptools.dist import Distribution
+from setuptools import SetuptoolsDeprecationWarning
+
+
+@mock.patch("distutils.command.bdist_wininst.bdist_wininst")
+def test_bdist_wininst_warning(distutils_cmd):
+    dist = Distribution(dict(
+        script_name='setup.py',
+        script_args=['bdist_wininst'],
+        name='foo',
+        py_modules=['hi'],
+    ))
+    dist.parse_command_line()
+    with pytest.warns(SetuptoolsDeprecationWarning):
+        dist.run_commands()
+
+    distutils_cmd.run.assert_called_once()