diff --git a/Lib/asyncio/windows_events.py b/Lib/asyncio/windows_events.py
index 8c3d73705e3..427d4624ad0 100644
--- a/Lib/asyncio/windows_events.py
+++ b/Lib/asyncio/windows_events.py
@@ -1,5 +1,10 @@
 """Selector and proactor event loops for Windows."""
 
+import sys
+
+if sys.platform != 'win32':  # pragma: no cover
+    raise ImportError('win32 only')
+
 import _overlapped
 import _winapi
 import errno
diff --git a/Misc/NEWS.d/next/Library/2022-01-03-12-59-20.bpo-46239.ySVSEy.rst b/Misc/NEWS.d/next/Library/2022-01-03-12-59-20.bpo-46239.ySVSEy.rst
new file mode 100644
index 00000000000..202febf84fd
--- /dev/null
+++ b/Misc/NEWS.d/next/Library/2022-01-03-12-59-20.bpo-46239.ySVSEy.rst
@@ -0,0 +1,2 @@
+Improve error message when importing :mod:`asyncio.windows_events` on
+non-Windows.