diff --git a/src/changelog/unreleased.md b/src/changelog/unreleased.md
index 2970b768..65e303da 100644
--- a/src/changelog/unreleased.md
+++ b/src/changelog/unreleased.md
@@ -78,6 +78,7 @@ changelog entry.
 - Add `CustomCursorSource::Url`, `CustomCursorSource::from_animation`.
 - Implement `CustomIconProvider` for `RgbaIcon`.
 - Add `icon` module that exposes winit's icon API.
+- On Windows, add `CursorGrabMode::Locked`.
 
 ### Changed
 
diff --git a/src/platform_impl/windows/util.rs b/src/platform_impl/windows/util.rs
index 5aee1d54..7f41b3ca 100644
--- a/src/platform_impl/windows/util.rs
+++ b/src/platform_impl/windows/util.rs
@@ -6,7 +6,7 @@ use std::sync::atomic::{AtomicBool, Ordering};
 use std::{io, mem, ptr};
 
 use windows_sys::core::{HRESULT, PCWSTR};
-use windows_sys::Win32::Foundation::{BOOL, HANDLE, HMODULE, HWND, RECT};
+use windows_sys::Win32::Foundation::{BOOL, HANDLE, HMODULE, HWND, POINT, RECT};
 use windows_sys::Win32::Graphics::Gdi::{ClientToScreen, HMONITOR};
 use windows_sys::Win32::System::LibraryLoader::{GetProcAddress, LoadLibraryA};
 use windows_sys::Win32::System::SystemServices::IMAGE_DOS_HEADER;
@@ -16,9 +16,9 @@ use windows_sys::Win32::UI::HiDpi::{
 use windows_sys::Win32::UI::Input::KeyboardAndMouse::GetActiveWindow;
 use windows_sys::Win32::UI::Input::Pointer::{POINTER_INFO, POINTER_TOUCH_INFO};
 use windows_sys::Win32::UI::WindowsAndMessaging::{
-    ClipCursor, GetClientRect, GetClipCursor, GetSystemMetrics, GetWindowPlacement, GetWindowRect,
-    IsIconic, ShowCursor, IDC_APPSTARTING, IDC_ARROW, IDC_CROSS, IDC_HAND, IDC_HELP, IDC_IBEAM,
-    IDC_NO, IDC_SIZEALL, IDC_SIZENESW, IDC_SIZENS, IDC_SIZENWSE, IDC_SIZEWE, IDC_WAIT,
+    ClipCursor, GetClientRect, GetClipCursor, GetCursorPos, GetSystemMetrics, GetWindowPlacement,
+    GetWindowRect, IsIconic, ShowCursor, IDC_APPSTARTING, IDC_ARROW, IDC_CROSS, IDC_HAND, IDC_HELP,
+    IDC_IBEAM, IDC_NO, IDC_SIZEALL, IDC_SIZENESW, IDC_SIZENS, IDC_SIZENWSE, IDC_SIZEWE, IDC_WAIT,
     SM_CXVIRTUALSCREEN, SM_CYVIRTUALSCREEN, SM_XVIRTUALSCREEN, SM_YVIRTUALSCREEN, SW_MAXIMIZE,
     WINDOWPLACEMENT,
 };
@@ -99,6 +99,13 @@ pub fn set_cursor_hidden(hidden: bool) {
     }
 }
 
+pub fn get_cursor_position() -> Result<POINT, io::Error> {
+    unsafe {
+        let mut point: POINT = mem::zeroed();
+        win_to_err(GetCursorPos(&mut point)).map(|_| point)
+    }
+}
+
 pub fn get_cursor_clip() -> Result<RECT, io::Error> {
     unsafe {
         let mut rect: RECT = mem::zeroed();
diff --git a/src/platform_impl/windows/window.rs b/src/platform_impl/windows/window.rs
index 6374b996..894cb605 100644
--- a/src/platform_impl/windows/window.rs
+++ b/src/platform_impl/windows/window.rs
@@ -52,7 +52,7 @@ use super::icon::WinCursor;
 use super::MonitorHandle;
 use crate::cursor::Cursor;
 use crate::dpi::{PhysicalInsets, PhysicalPosition, PhysicalSize, Position, Size};
-use crate::error::{NotSupportedError, RequestError};
+use crate::error::RequestError;
 use crate::icon::{Icon, RgbaIcon};
 use crate::monitor::{Fullscreen, MonitorHandle as CoreMonitorHandle, MonitorHandleProvider};
 use crate::platform::windows::{BackdropType, Color, CornerPreference, WinIcon};
@@ -652,14 +652,6 @@ impl CoreWindow for Window {
     }
 
     fn set_cursor_grab(&self, mode: CursorGrabMode) -> Result<(), RequestError> {
-        let confine = match mode {
-            CursorGrabMode::None => false,
-            CursorGrabMode::Confined => true,
-            CursorGrabMode::Locked => {
-                return Err(NotSupportedError::new("locked cursor is not supported").into())
-            },
-        };
-
         let window = self.window;
         let window_state = Arc::clone(&self.window_state);
         let (tx, rx) = channel();
@@ -670,7 +662,10 @@ impl CoreWindow for Window {
                 .lock()
                 .unwrap()
                 .mouse
-                .set_cursor_flags(window.hwnd(), |f| f.set(CursorFlags::GRABBED, confine))
+                .set_cursor_flags(window.hwnd(), |f| {
+                    f.set(CursorFlags::GRABBED, mode != CursorGrabMode::None);
+                    f.set(CursorFlags::LOCKED, mode == CursorGrabMode::Locked);
+                })
                 .map_err(|err| os_error!(err).into());
             let _ = tx.send(result);
         });
diff --git a/src/platform_impl/windows/window_state.rs b/src/platform_impl/windows/window_state.rs
index f1b8e022..f2536baf 100644
--- a/src/platform_impl/windows/window_state.rs
+++ b/src/platform_impl/windows/window_state.rs
@@ -87,6 +87,7 @@ bitflags! {
         const GRABBED   = 1 << 0;
         const HIDDEN    = 1 << 1;
         const IN_WINDOW = 1 << 2;
+        const LOCKED    = 1 << 3;
     }
 }
 bitflags! {
@@ -495,7 +496,22 @@ impl CursorFlags {
         if util::is_focused(window) {
             let cursor_clip = match self.contains(CursorFlags::GRABBED) {
                 true => {
-                    if self.contains(CursorFlags::HIDDEN) {
+                    if self.contains(CursorFlags::LOCKED) {
+                        if let Ok(pos) = util::get_cursor_position() {
+                            Some(RECT {
+                                left: pos.x,
+                                right: pos.x + 1,
+                                top: pos.y,
+                                bottom: pos.y + 1,
+                            })
+                        } else {
+                            // If lock is applied while the cursor is not available, lock it to the
+                            // middle of the window.
+                            let cx = (client_rect.left + client_rect.right) / 2;
+                            let cy = (client_rect.top + client_rect.bottom) / 2;
+                            Some(RECT { left: cx, right: cx + 1, top: cy, bottom: cy + 1 })
+                        }
+                    } else if self.contains(CursorFlags::HIDDEN) {
                         // Confine the cursor to the center of the window if the cursor is hidden.
                         // This avoids problems with the cursor activating
                         // the taskbar if the window borders or overlaps that.
diff --git a/src/window.rs b/src/window.rs
index 51907828..dde0167f 100644
--- a/src/window.rs
+++ b/src/window.rs
@@ -1396,8 +1396,7 @@ pub enum CursorGrabMode {
     ///
     /// ## Platform-specific
     ///
-    /// - **X11 / Windows:** Not implemented. Always returns [`RequestError::NotSupported`] for
-    ///   now.
+    /// - **X11:** Not implemented. Always returns [`RequestError::NotSupported`] for now.
     /// - **iOS / Android:** Always returns an [`RequestError::NotSupported`].
     Locked,
 }