diff --git a/.azure/pipelines/ci.yml b/.azure/pipelines/ci.yml
index 091eb3f90f..0f4c3dd39f 100644
--- a/.azure/pipelines/ci.yml
+++ b/.azure/pipelines/ci.yml
@@ -295,6 +295,8 @@ jobs:
     buildScript: ./eng/scripts/cibuild.cmd
     buildArgs: -test "/p:SkipIISBackwardsCompatibilityTests=true /p:SkipIISTests=true /p:SkipIISExpressTests=true /p:SkipIISForwardsCompatibilityTests=true"
     beforeBuild:
+    - powershell: ./eng/scripts/InstallSqlServerLocalDB.ps1
+      displayName: Install SQL Server 2017 Express LocalDB
     - powershell: "& ./src/Servers/IIS/tools/UpdateIISExpressCertificate.ps1; & ./src/Servers/IIS/tools/update_schema.ps1"
       displayName: Setup IISExpress test certificates and schema
     - powershell: "& ./.azure/pipelines/tools/SetupTestEnvironment.ps1 Setup signalrclienttests.exe"
diff --git a/eng/scripts/InstallSqlServerLocalDB.ps1 b/eng/scripts/InstallSqlServerLocalDB.ps1
new file mode 100644
index 0000000000..e31be1c216
--- /dev/null
+++ b/eng/scripts/InstallSqlServerLocalDB.ps1
@@ -0,0 +1,44 @@
+<#
+.SYNOPSIS
+    Installs SQL Server 2017 Express LocalDB on a machine.
+.DESCRIPTION
+    This script installs Microsoft SQL Server 2016 Express LocalDB on a machine.
+.LINK
+    https://docs.microsoft.com/en-us/sql/database-engine/configure-windows/sql-server-2016-express-localdb?view=sql-server-2017
+    https://docs.microsoft.com/en-us/sql/database-engine/install-windows/install-sql-server-from-the-command-prompt?view=sql-server-2017
+#>
+
+$ErrorActionPreference = 'Stop'
+Set-StrictMode -Version 1
+
+$intermedateDir = "$PSScriptRoot\obj"
+mkdir $intermedateDir -ErrorAction Ignore | Out-Null
+
+$bootstrapper = "$intermedateDir\SQLExpressInstaller.exe"
+$ProgressPreference = 'SilentlyContinue' # Workaround PowerShell/PowerShell#2138
+
+Write-Host "Installing SQL Server 2017 Express LocalDB" -f Magenta
+
+# Get the bootstrapper.
+Write-Host ""
+Write-Host "Downloading 'SQLServer2017-SSEI-Expr.exe' to '$bootstrapper'."
+Invoke-WebRequest -OutFile $bootstrapper -Uri `
+  "https://download.microsoft.com/download/5/E/9/5E9B18CC-8FD5-467E-B5BF-BADE39C51F73/SQLServer2017-SSEI-Expr.exe"
+
+# Download SqlLocalDB.msi.
+Write-Host ""
+$arguments = '/Action=Download', '/Quiet', '/HideProgressBar', `
+  '/MediaType=LocalDB', "/MediaPath=`"$intermedateDir`"", '/Language=en-us'
+Write-Host "Running '`"$bootstrapper`" $arguments'."
+$process = Start-Process "$bootstrapper" -ArgumentList $arguments -PassThru -Verbose -Wait
+if ($process.ExitCode -ne 0) {
+  exit $process.ExitCode
+}
+
+# Install LocalDB.
+Write-Host ""
+$arguments = '/package', "`"$intermedateDir\en-us\SqlLocalDB.msi`"", '/NoRestart', '/Passive', `
+  'IACCEPTSQLLOCALDBLICENSETERMS=YES', 'HIDEPROGRESSBAR=YES'
+Write-Host "Running 'msiexec $arguments'."
+$process = Start-Process msiexec.exe -ArgumentList $arguments -NoNewWindow -PassThru -Verbose -Wait
+exit $process.ExitCode