diff --git a/Misc/NEWS.d/next/Core and Builtins/2020-07-08-22-03-54.bpo-41247.PndYIk.rst b/Misc/NEWS.d/next/Core and Builtins/2020-07-08-22-03-54.bpo-41247.PndYIk.rst
new file mode 100644
index 000000000000000..08699b6e4a1f017
--- /dev/null
+++ b/Misc/NEWS.d/next/Core and Builtins/2020-07-08-22-03-54.bpo-41247.PndYIk.rst	
@@ -0,0 +1,2 @@
+Always cache the running loop holder when running
+``asyncio.set_running_loop``.
diff --git a/Modules/_asynciomodule.c b/Modules/_asynciomodule.c
index 8e1cd4f52a540a2..4ed2af5598029cc 100644
--- a/Modules/_asynciomodule.c
+++ b/Modules/_asynciomodule.c
@@ -289,9 +289,6 @@ get_running_loop(PyObject **loop)
 static int
 set_running_loop(PyObject *loop)
 {
-    cached_running_holder = NULL;
-    cached_running_holder_tsid = 0;
-
     PyObject *ts_dict = PyThreadState_GetDict();  // borrowed
     if (ts_dict == NULL) {
         PyErr_SetString(
@@ -312,6 +309,12 @@ set_running_loop(PyObject *loop)
     }
     Py_DECREF(rl);
 
+    cached_running_holder = (PyObject *)rl;
+
+    /* safe to assume state is not NULL as the call to PyThreadState_GetDict()
+       above already checks if state is NULL */
+    cached_running_holder_tsid = PyThreadState_Get()->id;
+
     return 0;
 }