diff --git a/common/include/Utilities/PersistentThread.h b/common/include/Utilities/PersistentThread.h
index 33aa5c560d..cb2235bf8f 100644
--- a/common/include/Utilities/PersistentThread.h
+++ b/common/include/Utilities/PersistentThread.h
@@ -200,6 +200,7 @@ protected:
     void _ThreadCleanup();
 
     static void *_internal_callback(void *func);
+    static void internal_callback_helper(void *func);
     static void _pt_callback_cleanup(void *handle);
 };
 }
diff --git a/common/src/Utilities/ThreadTools.cpp b/common/src/Utilities/ThreadTools.cpp
index d7135e34f9..f22cc2dba6 100644
--- a/common/src/Utilities/ThreadTools.cpp
+++ b/common/src/Utilities/ThreadTools.cpp
@@ -685,12 +685,21 @@ void *Threading::pxThread::_internal_callback(void *itsme)
 {
     if (!pxAssertDev(itsme != NULL, wxNullChar))
         return NULL;
-    pxThread &owner = *((pxThread *)itsme);
+
+    internal_callback_helper(itsme);
+    return nullptr;
+}
+
+// __try is used in pthread_cleanup_push when CLEANUP_SEH is used as the cleanup model.
+// That can't be used in a function that has objects that require unwinding (compile
+// error C2712), so move it into a separate function.
+void Threading::pxThread::internal_callback_helper(void *itsme)
+{
+    pxThread &owner = *static_cast<pxThread *>(itsme);
 
     pthread_cleanup_push(_pt_callback_cleanup, itsme);
     owner._internal_execute();
     pthread_cleanup_pop(true);
-    return NULL;
 }
 
 void Threading::pxThread::_DoSetThreadName(const wxString &name)