diff --git a/ci/scripts/python_wheel_windows_test.bat b/ci/scripts/python_wheel_windows_test.bat
index ffe8b388f93df..a686215b93dad 100755
--- a/ci/scripts/python_wheel_windows_test.bat
+++ b/ci/scripts/python_wheel_windows_test.bat
@@ -58,12 +58,5 @@ py -0p
 @REM Validate wheel contents
 %PYTHON_CMD% C:\arrow\ci\scripts\python_wheel_validate_contents.py --path C:\arrow\python\repaired_wheels || exit /B 1
 
-@rem Download IANA Timezone Database for ORC C++
-curl https://cygwin.osuosl.org/noarch/release/tzdata/tzdata-2024a-1.tar.xz --output tzdata.tar.xz || exit /B
-mkdir %USERPROFILE%\Downloads\test\tzdata
-arc unarchive tzdata.tar.xz %USERPROFILE%\Downloads\test\tzdata || exit /B
-set TZDIR=%USERPROFILE%\Downloads\test\tzdata\usr\share\zoneinfo
-dir %TZDIR%
-
 @REM Execute unittest
 %PYTHON_CMD% -m pytest -r s --pyargs pyarrow || exit /B 1
diff --git a/python/pyarrow/tests/conftest.py b/python/pyarrow/tests/conftest.py
index 63518beebae95..53b54bb494da6 100644
--- a/python/pyarrow/tests/conftest.py
+++ b/python/pyarrow/tests/conftest.py
@@ -55,6 +55,22 @@
         set_timezone_db_path(tzdata_set_path)
 
 
+# GH-45295: For ORC, try to populate TZDIR env var from tzdata package resource
+# path.
+#
+# Note this is a different kind of database than what we allow to be set by
+# `PYARROW_TZDATA_PATH` and passed to set_timezone_db_path.
+if sys.platform == 'win32':
+    if os.environ.get('TZDIR', None) is None:
+        from importlib import resources
+        try:
+            os.environ['TZDIR'] = os.path.join(resources.files('tzdata'), 'zoneinfo')
+        except ModuleNotFoundError:
+            print(
+                'Package "tzdata" not found. Not setting TZDIR environment variable.'
+            )
+
+
 def pytest_addoption(parser):
     # Create options to selectively enable test groups
     def bool_env(name, default=None):
diff --git a/python/pyarrow/util.py b/python/pyarrow/util.py
index 89780da10f7cf..5878d1f902627 100644
--- a/python/pyarrow/util.py
+++ b/python/pyarrow/util.py
@@ -230,6 +230,20 @@ def _break_traceback_cycle_from_frame(frame):
     refs = frame = this_frame = None
 
 
+def _download_urllib(url, out_path):
+    from urllib.request import urlopen
+    with urlopen(url) as response:
+        with open(out_path, 'wb') as f:
+            f.write(response.read())
+
+
+def _download_requests(url, out_path):
+    import requests
+    with requests.get(url) as response:
+        with open(out_path, 'wb') as f:
+            f.write(response.content)
+
+
 def download_tzdata_on_windows():
     r"""
     Download and extract latest IANA timezone database into the
@@ -240,19 +254,23 @@ def download_tzdata_on_windows():
 
     import tarfile
 
+    tzdata_url = "https://data.iana.org/time-zones/tzdata-latest.tar.gz"
     tzdata_path = os.path.expandvars(r"%USERPROFILE%\Downloads\tzdata")
-    tzdata_compressed = os.path.join(tzdata_path, "tzdata.tar.gz")
+    tzdata_compressed_path = os.path.join(tzdata_path, "tzdata.tar.gz")
+    windows_zones_url = "https://raw.githubusercontent.com/unicode-org/cldr/master/common/supplemental/windowsZones.xml"  # noqa
+    windows_zones_path = os.path.join(tzdata_path, "windowsZones.xml")
     os.makedirs(tzdata_path, exist_ok=True)
 
-    from urllib.request import urlopen
-    with urlopen('https://data.iana.org/time-zones/tzdata-latest.tar.gz') as response:
-        with open(tzdata_compressed, 'wb') as f:
-            f.write(response.read())
-
-    assert os.path.exists(tzdata_compressed)
+    # Try to download the files with requests and then fall back to urllib. This
+    # works around possible issues in certain older environment (GH-45295)
+    try:
+        _download_requests(tzdata_url, tzdata_compressed_path)
+        _download_requests(windows_zones_url, windows_zones_path)
+    except ImportError:
+        _download_urllib(tzdata_url, tzdata_compressed_path)
+        _download_urllib(windows_zones_url, windows_zones_path)
 
-    tarfile.open(tzdata_compressed).extractall(tzdata_path)
+    assert os.path.exists(tzdata_compressed_path)
+    assert os.path.exists(windows_zones_path)
 
-    with urlopen('https://raw.githubusercontent.com/unicode-org/cldr/master/common/supplemental/windowsZones.xml') as response_zones:   # noqa
-        with open(os.path.join(tzdata_path, "windowsZones.xml"), 'wb') as f:
-            f.write(response_zones.read())
+    tarfile.open(tzdata_compressed_path).extractall(tzdata_path)
diff --git a/python/requirements-wheel-test.txt b/python/requirements-wheel-test.txt
index c051efb0aaab1..ad81586d37efa 100644
--- a/python/requirements-wheel-test.txt
+++ b/python/requirements-wheel-test.txt
@@ -4,6 +4,7 @@ hypothesis
 pytest
 pytz
 pyuwsgi; sys.platform != 'win32' and python_version < '3.13'
+requests; sys_platform == 'win32'
 tzdata; sys_platform == 'win32'
 
 # We generally test with the oldest numpy version that supports a given Python