diff --git a/Windows/MainWindow.cpp b/Windows/MainWindow.cpp
index 9f3a66e090..de6b09baed 100644
--- a/Windows/MainWindow.cpp
+++ b/Windows/MainWindow.cpp
@@ -968,6 +968,7 @@ namespace MainWindow
 			break;
 
 		case WM_CLOSE:
+			MainThread_Stop();
 			InputDevice::StopPolling();
 			WindowsRawInput::Shutdown();
 			return DefWindowProc(hWnd,message,wParam,lParam);
@@ -976,8 +977,9 @@ namespace MainWindow
 			KillTimer(hWnd, TIMER_CURSORUPDATE);
 			KillTimer(hWnd, TIMER_CURSORMOVEUPDATE);
 			KillTimer(hWnd, TIMER_WHEELRELEASE);
+			// Main window is gone, this tells the message loop to exit.
 			PostQuitMessage(0);
-			break;
+			return 0;
 
 		case WM_USER + 1:
 			NotifyDebuggerMapLoaded();
diff --git a/Windows/main.cpp b/Windows/main.cpp
index dc790cd7f8..9351202bee 100644
--- a/Windows/main.cpp
+++ b/Windows/main.cpp
@@ -776,8 +776,6 @@ int WINAPI WinMain(HINSTANCE _hInstance, HINSTANCE hPrevInstance, LPSTR szCmdLin
 		}
 	}
 
-	MainThread_Stop();
-
 	VFSShutdown();
 
 	MainWindow::DestroyDebugWindows();