diff --git a/src/TimeZones.jl b/src/TimeZones.jl
index 98f6b4710..ad1320540 100644
--- a/src/TimeZones.jl
+++ b/src/TimeZones.jl
@@ -44,12 +44,17 @@ const _COMPILED_DIR = Ref{String}()
 abstract type Local <: TimeZone end
 
 function __init__()
-    # Write out our compiled tzdata representations into a scratchspace
-    _COMPILED_DIR[] = _compiled_dir(tzdata_version())
-
     # Initialize the thread-local TimeZone cache (issue #342)
     _reset_tz_cache()
 
+    # Write out our compiled tzdata representations into a scratchspace
+    version = tzdata_version()
+    _COMPILED_DIR[] = _compiled_dir(version)
+
+    # Build the time zone data if required. Should only occur when `JULIA_TZ_VERSION` is
+    # specified we to a version not previously built.
+    isdir(_COMPILED_DIR[]) || build(version)
+
     # Base extension needs to happen everytime the module is loaded (issue #24)
     Dates.CONVERSION_SPECIFIERS['z'] = TimeZone
     Dates.CONVERSION_SPECIFIERS['Z'] = TimeZone