diff --git a/src/core/system.cpp b/src/core/system.cpp
index 65bf31c0a..55bbf95c6 100644
--- a/src/core/system.cpp
+++ b/src/core/system.cpp
@@ -72,6 +72,7 @@ Log_SetChannel(System);
 #ifdef _WIN32
 #include "common/windows_headers.h"
 #include <mmsystem.h>
+#include <objbase.h>
 #endif
 
 #ifdef ENABLE_DISCORD_PRESENCE
@@ -253,8 +254,20 @@ static TinyString GetTimestampStringForFileName()
   return TinyString::from_format("{:%Y-%m-%d-%H-%M-%S}", fmt::localtime(std::time(nullptr)));
 }
 
-bool System::Internal::ProcessStartup()
+bool System::Internal::CPUThreadInitialize()
 {
+#ifdef _WIN32
+  // On Win32, we have a bunch of things which use COM (e.g. SDL, Cubeb, etc).
+  // We need to initialize COM first, before anything else does, because otherwise they might
+  // initialize it in single-threaded/apartment mode, which can't be changed to multithreaded.
+  HRESULT hr = CoInitializeEx(nullptr, COINIT_MULTITHREADED);
+  if (FAILED(hr))
+  {
+    Host::ReportErrorAsync("Error", fmt::format("CoInitializeEx() failed: {:08X}", static_cast<unsigned>(hr)));
+    return false;
+  }
+#endif
+
   if (!Bus::AllocateMemory())
     return false;
 
@@ -279,7 +292,7 @@ bool System::Internal::ProcessStartup()
   return true;
 }
 
-void System::Internal::ProcessShutdown()
+void System::Internal::CPUThreadShutdown()
 {
 #ifdef ENABLE_DISCORD_PRESENCE
   ShutdownDiscordPresence();
@@ -291,6 +304,10 @@ void System::Internal::ProcessShutdown()
 
   CPU::CodeCache::ProcessShutdown();
   Bus::ReleaseMemory();
+
+#ifdef _WIN32
+  CoUninitialize();
+#endif
 }
 
 void System::Internal::IdlePollUpdate()
diff --git a/src/core/system.h b/src/core/system.h
index bd735444a..b037738e6 100644
--- a/src/core/system.h
+++ b/src/core/system.h
@@ -490,10 +490,10 @@ void UpdateDiscordPresence(bool update_session_time);
 
 namespace Internal {
 /// Called on process startup.
-bool ProcessStartup();
+bool CPUThreadInitialize();
 
 /// Called on process shutdown.
-void ProcessShutdown();
+void CPUThreadShutdown();
 
 /// Polls input, updates subsystems which are present while paused/inactive.
 void IdlePollUpdate();
diff --git a/src/duckstation-qt/qthost.cpp b/src/duckstation-qt/qthost.cpp
index 299c4acca..64ba20d56 100644
--- a/src/duckstation-qt/qthost.cpp
+++ b/src/duckstation-qt/qthost.cpp
@@ -1603,7 +1603,7 @@ void EmuThread::run()
   m_started_semaphore.release();
 
   // input source setup must happen on emu thread
-  if (!System::Internal::ProcessStartup())
+  if (!System::Internal::CPUThreadInitialize())
   {
     moveToThread(m_ui_thread);
     return;
@@ -1645,7 +1645,7 @@ void EmuThread::run()
     System::ShutdownSystem(false);
 
   destroyBackgroundControllerPollTimer();
-  System::Internal::ProcessShutdown();
+  System::Internal::CPUThreadShutdown();
 
   // move back to UI thread
   moveToThread(m_ui_thread);
diff --git a/src/duckstation-regtest/regtest_host.cpp b/src/duckstation-regtest/regtest_host.cpp
index e1a65220f..9a386eec4 100644
--- a/src/duckstation-regtest/regtest_host.cpp
+++ b/src/duckstation-regtest/regtest_host.cpp
@@ -657,7 +657,7 @@ int main(int argc, char* argv[])
     return EXIT_FAILURE;
   }
 
-  if (!System::Internal::ProcessStartup())
+  if (!System::Internal::CPUThreadInitialize())
     return EXIT_FAILURE;
 
   RegTestHost::HookSignals();
@@ -689,6 +689,6 @@ int main(int argc, char* argv[])
   result = 0;
 
 cleanup:
-  System::Internal::ProcessShutdown();
+  System::Internal::CPUThreadShutdown();
   return result;
 }
diff --git a/src/util/cubeb_audio_stream.cpp b/src/util/cubeb_audio_stream.cpp
index 51174f944..686a8374d 100644
--- a/src/util/cubeb_audio_stream.cpp
+++ b/src/util/cubeb_audio_stream.cpp
@@ -123,16 +123,6 @@ void CubebAudioStream::DestroyContextAndStream()
 
 bool CubebAudioStream::Initialize(const char* driver_name, const char* device_name, Error* error)
 {
-#ifdef _WIN32
-  HRESULT hr = CoInitializeEx(nullptr, COINIT_MULTITHREADED);
-  m_com_initialized_by_us = SUCCEEDED(hr);
-  if (FAILED(hr) && hr != RPC_E_CHANGED_MODE)
-  {
-    Error::SetHResult(error, "CoInitializeEx() failed: ", hr);
-    return false;
-  }
-#endif
-
   cubeb_set_log_callback(CUBEB_LOG_NORMAL, LogCallback);
 
   int rv =