diff --git a/include/wx/thread.h b/include/wx/thread.h
index d21ea64d23..5a0ac27514 100644
--- a/include/wx/thread.h
+++ b/include/wx/thread.h
@@ -559,9 +559,6 @@ public:
     // priority
         // Sets the priority to "prio" which must be in 0..100 range (see
         // also wxPRIORITY_XXX constants).
-        //
-        // 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 8f26acc33a..2ee4a1de72 100644
--- a/interface/wx/thread.h
+++ b/interface/wx/thread.h
@@ -1267,11 +1267,6 @@ public:
           - @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.
-
         Please note that currently this function is not implemented when using
         the default (@c SCHED_OTHER) scheduling policy under POSIX systems.
     */
diff --git a/src/msw/thread.cpp b/src/msw/thread.cpp
index a04625d4fd..3c3d7c8b74 100644
--- a/src/msw/thread.cpp
+++ b/src/msw/thread.cpp
@@ -606,6 +606,14 @@ void wxThreadInternal::SetPriority(unsigned int priority)
 {
     m_priority = priority;
 
+    if ( !m_hThread )
+    {
+        // The thread hasn't been created yet, so calling SetThreadPriority()
+        // right now would just result in an error -- just skip doing this, as
+        // the priority will be set when Create() is called later.
+        return;
+    }
+
     // translate wxWidgets priority to the Windows one
     int win_priority;
     if (m_priority <= 20)