diff --git a/examples/python-guide/dask/binary-classification.py b/examples/python-guide/dask/binary-classification.py
index 4313e8da3ddb..d86fe3536df5 100644
--- a/examples/python-guide/dask/binary-classification.py
+++ b/examples/python-guide/dask/binary-classification.py
@@ -1,3 +1,5 @@
+import sys
+
 import dask.array as da
 from distributed import Client, LocalCluster
 from sklearn.datasets import make_blobs
@@ -5,6 +7,9 @@
 import lightgbm as lgb
 
 if __name__ == "__main__":
+    if not sys.platform.startswith('linux'):
+        print('lightgbm.dask is currently supported in Linux environments')
+        sys.exit(0)
 
     print("loading data")
 
diff --git a/examples/python-guide/dask/multiclass-classification.py b/examples/python-guide/dask/multiclass-classification.py
index 8e40b35a8121..f17de98f2a84 100644
--- a/examples/python-guide/dask/multiclass-classification.py
+++ b/examples/python-guide/dask/multiclass-classification.py
@@ -1,3 +1,5 @@
+import sys
+
 import dask.array as da
 from distributed import Client, LocalCluster
 from sklearn.datasets import make_blobs
@@ -5,6 +7,9 @@
 import lightgbm as lgb
 
 if __name__ == "__main__":
+    if not sys.platform.startswith('linux'):
+        print('lightgbm.dask is currently supported in Linux environments')
+        sys.exit(0)
 
     print("loading data")
 
diff --git a/examples/python-guide/dask/prediction.py b/examples/python-guide/dask/prediction.py
index 64e2bae0c08d..19c6ad75b51f 100644
--- a/examples/python-guide/dask/prediction.py
+++ b/examples/python-guide/dask/prediction.py
@@ -1,3 +1,5 @@
+import sys
+
 import dask.array as da
 from distributed import Client, LocalCluster
 from sklearn.datasets import make_regression
@@ -6,6 +8,9 @@
 import lightgbm as lgb
 
 if __name__ == "__main__":
+    if not sys.platform.startswith('linux'):
+        print('lightgbm.dask is currently supported in Linux environments')
+        sys.exit(0)
 
     print("loading data")
 
diff --git a/examples/python-guide/dask/ranking.py b/examples/python-guide/dask/ranking.py
index b7cae20a44c4..67b1080d2515 100644
--- a/examples/python-guide/dask/ranking.py
+++ b/examples/python-guide/dask/ranking.py
@@ -1,3 +1,6 @@
+import os
+import sys
+
 import dask.array as da
 import numpy as np
 from distributed import Client, LocalCluster
@@ -6,11 +9,16 @@
 import lightgbm as lgb
 
 if __name__ == "__main__":
+    if not sys.platform.startswith('linux'):
+        print('lightgbm.dask is currently supported in Linux environments')
+        sys.exit(0)
 
     print("loading data")
 
-    X, y = load_svmlight_file("../lambdarank/rank.train")
-    group = np.loadtxt("../lambdarank/rank.train.query")
+    X, y = load_svmlight_file(os.path.join(os.path.dirname(os.path.realpath(__file__)),
+                                           '../../lambdarank/rank.train'))
+    group = np.loadtxt(os.path.join(os.path.dirname(os.path.realpath(__file__)),
+                                    '../../lambdarank/rank.train.query'))
 
     print("initializing a Dask cluster")
 
diff --git a/examples/python-guide/dask/regression.py b/examples/python-guide/dask/regression.py
index 69a8f764732d..5c2766a3d947 100644
--- a/examples/python-guide/dask/regression.py
+++ b/examples/python-guide/dask/regression.py
@@ -1,3 +1,5 @@
+import sys
+
 import dask.array as da
 from distributed import Client, LocalCluster
 from sklearn.datasets import make_regression
@@ -5,6 +7,9 @@
 import lightgbm as lgb
 
 if __name__ == "__main__":
+    if not sys.platform.startswith('linux'):
+        print('lightgbm.dask is currently supported in Linux environments')
+        sys.exit(0)
 
     print("loading data")