diff --git a/tests/allheaders.cpp b/tests/allheaders.cpp
index 2a78445bb2..1264104bbc 100644
--- a/tests/allheaders.cpp
+++ b/tests/allheaders.cpp
@@ -36,6 +36,13 @@
 // We have to include this one first in order to check for wxUSE_XXX below.
 #include "wx/setup.h"
 
+// Normally this is done in wx/defs.h, but as we don't include it here, we need
+// to do it manually to avoid warnings inside the standard headers included
+// from catch.hpp.
+#if defined(__CYGWIN__) && defined(__WINDOWS__)
+    #define __USE_W32_SOCKETS
+#endif
+
 #include "catch.hpp"
 
 #if defined(__WXQT__)