diff --git a/include/wx/thread.h b/include/wx/thread.h
index 54fbc502fb..5ff109c970 100644
--- a/include/wx/thread.h
+++ b/include/wx/thread.h
@@ -560,7 +560,8 @@ public:
         // Sets the priority to "prio" which must be in 0..100 range (see
         // also wxPRIORITY_XXX constants).
         //
-        // NB: the priority can only be set before the thread is created
+        // NB: under MSW the priority can only be set after the thread is
+        //     created (but possibly before it is launched)
     void SetPriority(unsigned int prio);
 
         // Get the current priority.
diff --git a/interface/wx/thread.h b/interface/wx/thread.h
index 444b359417..17c68a84f4 100644
--- a/interface/wx/thread.h
+++ b/interface/wx/thread.h
@@ -1258,6 +1258,11 @@ public:
           - @c wxPRIORITY_MIN: 0
           - @c wxPRIORITY_DEFAULT: 50
           - @c wxPRIORITY_MAX: 100
+
+        Notice that in the MSW implementation the thread priority can currently
+        be only set after creating the thread with CreateThread(). But under
+        all platforms this method can be called either before launching the
+        thread using Run() or after doing it.
     */
     void SetPriority(unsigned int priority);