diff --git a/Lib/asyncio/windows_events.py b/Lib/asyncio/windows_events.py
index c07fe3241c5..a6759b78bd8 100644
--- a/Lib/asyncio/windows_events.py
+++ b/Lib/asyncio/windows_events.py
@@ -469,7 +469,7 @@ class IocpProactor:
             else:
                 ov.ReadFileInto(conn.fileno(), buf)
         except BrokenPipeError:
-            return self._result(b'')
+            return self._result(0)
 
         def finish_recv(trans, key, ov):
             try:
diff --git a/Misc/NEWS.d/next/Library/2020-08-04-00-20-30.bpo-41467.Z8DgTL.rst b/Misc/NEWS.d/next/Library/2020-08-04-00-20-30.bpo-41467.Z8DgTL.rst
new file mode 100644
index 00000000000..f12693e1176
--- /dev/null
+++ b/Misc/NEWS.d/next/Library/2020-08-04-00-20-30.bpo-41467.Z8DgTL.rst
@@ -0,0 +1,3 @@
+On Windows, fix asyncio ``recv_into()`` return value when the socket/pipe is
+closed (:exc:`BrokenPipeError`): return ``0`` rather than an empty byte
+string (``b''``).