diff --git a/CMakeLists.txt b/CMakeLists.txt
index 2dba6ca6d5..42a50609f1 100644
--- a/CMakeLists.txt
+++ b/CMakeLists.txt
@@ -3510,8 +3510,8 @@ if(NOT SDL2_DISABLE_INSTALL)
       LIBRARY DESTINATION "${CMAKE_INSTALL_LIBDIR}"
       ARCHIVE DESTINATION "${CMAKE_INSTALL_LIBDIR}"
       RUNTIME DESTINATION "${CMAKE_INSTALL_BINDIR}")
-    if(MSVC AND NOT CMAKE_VERSION VERSION_LESS "3.1")
-      install(FILES $<TARGET_PDB_FILE:SDL2> DESTINATION "${CMAKE_INSTALL_BINDIR}" OPTIONAL)
+    if(MSVC)
+      SDL_install_pdb(SDL2 "${CMAKE_INSTALL_BINDIR}")
     endif()
   endif()
 
@@ -3520,6 +3520,9 @@ if(NOT SDL2_DISABLE_INSTALL)
       LIBRARY DESTINATION "${CMAKE_INSTALL_LIBDIR}"
       ARCHIVE DESTINATION "${CMAKE_INSTALL_LIBDIR}"
       RUNTIME DESTINATION "${CMAKE_INSTALL_BINDIR}")
+    if(MSVC)
+      SDL_install_pdb(SDL2main "${CMAKE_INSTALL_LIBDIR}")
+    endif()
   endif()
 
   if(SDL_STATIC)
@@ -3527,6 +3530,9 @@ if(NOT SDL2_DISABLE_INSTALL)
       LIBRARY DESTINATION "${CMAKE_INSTALL_LIBDIR}"
       ARCHIVE DESTINATION "${CMAKE_INSTALL_LIBDIR}"
       RUNTIME DESTINATION "${CMAKE_INSTALL_BINDIR}")
+    if(MSVC)
+      SDL_install_pdb(SDL2-static "${CMAKE_INSTALL_LIBDIR}")
+    endif()
   endif()
 
   if(SDL_TEST)
@@ -3534,6 +3540,9 @@ if(NOT SDL2_DISABLE_INSTALL)
       LIBRARY DESTINATION "${CMAKE_INSTALL_LIBDIR}"
       ARCHIVE DESTINATION "${CMAKE_INSTALL_LIBDIR}"
       RUNTIME DESTINATION "${CMAKE_INSTALL_BINDIR}")
+    if(MSVC)
+      SDL_install_pdb(SDL2_test "${CMAKE_INSTALL_LIBDIR}")
+    endif()
   endif()
 
   ##### Export files #####
diff --git a/cmake/macros.cmake b/cmake/macros.cmake
index 69a5d5464a..2087e54b68 100644
--- a/cmake/macros.cmake
+++ b/cmake/macros.cmake
@@ -124,3 +124,23 @@ if(CMAKE_VERSION VERSION_LESS 3.13.0)
     link_directories(${ARGN})
   endmacro()
 endif()
+
+# CMP0087: install(CODE) and install(SCRIPT) support generator expressions.
+cmake_policy(SET CMP0087 NEW)
+function(SDL_install_pdb TARGET DIRECTORY)
+  get_property(type TARGET ${TARGET} PROPERTY TYPE)
+  if(type MATCHES "^(SHARED_LIBRARY|EXECUTABLE)$")
+    if(NOT CMAKE_VERSION VERSION_LESS 3.1)
+      install(FILES $<TARGET_PDB_FILE:${TARGET}> DESTINATION "${DIRECTORY}" OPTIONAL)
+    endif()
+  elseif(type STREQUAL "STATIC_LIBRARY")
+    if(NOT CMAKE_VERSION VERSION_LESS 3.15)
+      # FIXME: Use $<TARGET_COMPILE_PDB_FILE:${TARGET} once it becomes available (https://gitlab.kitware.com/cmake/cmake/-/issues/25244)
+      if(CMAKE_GENERATOR MATCHES "^Visual Studio.*")
+        install(CODE "file(INSTALL DESTINATION \"\${CMAKE_INSTALL_PREFIX}/${DIRECTORY}\" TYPE FILE OPTIONAL FILES \"${CMAKE_CURRENT_BINARY_DIR}/\${CMAKE_INSTALL_CONFIG_NAME}/${TARGET}.pdb\")")
+      else()
+        install(CODE "file(INSTALL DESTINATION \"\${CMAKE_INSTALL_PREFIX}/${DIRECTORY}\" TYPE FILE OPTIONAL FILES \"${CMAKE_CURRENT_BINARY_DIR}/CMakeFiles/${TARGET}.dir/${TARGET}.pdb\")")
+      endif()
+    endif()
+  endif()
+endfunction()
diff --git a/test/CMakeLists.txt b/test/CMakeLists.txt
index 17bf76402d..07ebf3426b 100644
--- a/test/CMakeLists.txt
+++ b/test/CMakeLists.txt
@@ -481,7 +481,7 @@ if(SDL_INSTALL_TESTS)
     endif()
     if(MSVC)
         foreach(test ${SDL_TEST_EXECUTABLES})
-            install(FILES $<TARGET_PDB_FILE:${test}> DESTINATION "${CMAKE_INSTALL_LIBEXECDIR}/installed-tests/SDL2" OPTIONAL)
+            SDL_install_pdb(${test} "${CMAKE_INSTALL_LIBEXECDIR}/installed-tests/SDL2")
         endforeach()
     endif()
     install(