diff --git a/.appveyor.yml b/.appveyor.yml
index f58cab35bf5..d8fe306e40c 100644
--- a/.appveyor.yml
+++ b/.appveyor.yml
@@ -27,7 +27,7 @@ build_script:
   - ps: cp C:\projects\mlpack\boost_random-vc140.1.60.0.0\lib\native\address-model-64\lib\*.* C:\projects\mlpack\boost_libs\
   - ps: cp C:\projects\mlpack\boost_serialization-vc140.1.60.0.0\lib\native\address-model-64\lib\*.* C:\projects\mlpack\boost_libs\
   - ps: cp C:\projects\mlpack\boost_unit_test_framework-vc140.1.60.0.0\lib\native\address-model-64\lib\*.* C:\projects\mlpack\boost_libs\
-  - if not exist armadillo.tar.gz appveyor DownloadFile "http://sourceforge.net/projects/arma/files/armadillo-7.800.2.tar.xz" -FileName armadillo.tar.gz
+  - if not exist armadillo.tar.xz appveyor DownloadFile "http://sourceforge.net/projects/arma/files/armadillo-7.800.2.tar.xz" -FileName armadillo.tar.xz
   - 7z x armadillo.tar.xz -so | 7z x -si -ttar > nul
   - cd armadillo-7.800.2 && mkdir build && cd build
   - cmake -G "Visual Studio 14 2015 Win64" -DBLAS_LIBRARY:FILEPATH="%APPVEYOR_BUILD_FOLDER%/OpenBLAS.0.2.14.1/lib/native/lib/x64/libopenblas.dll.a" -DLAPACK_LIBRARY:FILEPATH="%APPVEYOR_BUILD_FOLDER%/OpenBLAS.0.2.14.1/lib/native/lib/x64/libopenblas.dll.a" -DCMAKE_PREFIX:FILEPATH="%APPVEYOR_BUILD_FOLDER%/armadillo" -DBUILD_SHARED_LIBS=OFF ..
@@ -51,7 +51,7 @@ notifications:
 
 cache:
   - packages -> **\packages.config
-  - armadillo.tar.gz -> appveyor.yaml
+  - armadillo.tar.xz -> appveyor.yaml
 
 # All plans have maximum build job execution time of 60 minutes. But right, now
 # the machine takes 30 minutes to build the code and at least 50 minutes to run