diff --git a/onnxruntime/python/_pybind_state.py b/onnxruntime/python/_pybind_state.py
index e4f8ec4e97..4f0a243899 100644
--- a/onnxruntime/python/_pybind_state.py
+++ b/onnxruntime/python/_pybind_state.py
@@ -5,9 +5,23 @@
 
 import os
 import platform
+import sys
 import warnings
 import onnxruntime.capi._ld_preload  # noqa: F401
 
+# Python 3.8 (and later) on Windows doesn't search system PATH when loading DLLs,
+# so CUDA location needs to be specified explicitly.
+if platform.system() == "Windows" and sys.version_info >= (3, 8):
+    CUDA_VERSION = "10.2"
+    CUDNN_VERSION = "8"
+    cuda_env_variable = "CUDA_PATH_V" + CUDA_VERSION.replace(".", "_")
+    if cuda_env_variable not in os.environ:
+        raise ImportError(f"CUDA Toolkit {CUDA_VERSION} not installed on the machine.")
+    cuda_bin_dir = os.path.join(os.environ[cuda_env_variable], "bin")
+    if not os.path.isfile(os.path.join(cuda_bin_dir, f"cudnn64_{CUDNN_VERSION}.dll")):
+        raise ImportError(f"cuDNN {CUDNN_VERSION} not installed on the machine.")
+    os.add_dll_directory(cuda_bin_dir)
+
 try:
     from onnxruntime.capi.onnxruntime_pybind11_state import *  # noqa
 except ImportError as e:
@@ -21,6 +35,6 @@ except ImportError as e:
     # TODO: Add a guard against False Positive error message
     # As a proxy for checking if the 2019 VC Runtime is installed,
     # we look for a specific dll only shipped with the 2019 VC Runtime
-    if platform.system().lower() == 'windows' and not os.path.isfile('c:\\Windows\\System32\\vcruntime140_1.dll'):
+    if platform.system() == "Windows" and not os.path.isfile("C:\\Windows\\System32\\vcruntime140_1.dll"):
         warnings.warn("Unless you have built the wheel using VS 2017, "
-                      "please install the 2019 Visual C++ runtime and then try again")
+                      "please install the 2019 Visual C++ runtime and then try again.")