diff --git a/setup.py b/setup.py
index 8d2e2669852ea..2bef65c9719dc 100755
--- a/setup.py
+++ b/setup.py
@@ -293,6 +293,11 @@ def initialize_options(self):
                 if d == '__pycache__':
                     self._clean_trees.append(pjoin(root, d))
 
+        # clean the generated pxi files
+        for pxifile in _pxifiles:
+            pxifile = pxifile.replace(".pxi.in", ".pxi")
+            self._clean_me.append(pxifile)
+
         for d in ('build', 'dist'):
             if os.path.exists(d):
                 self._clean_trees.append(d)