diff --git a/Source/Core/Core/Core.cpp b/Source/Core/Core/Core.cpp
index 0dbfda58bd5..75ba7380b4d 100644
--- a/Source/Core/Core/Core.cpp
+++ b/Source/Core/Core/Core.cpp
@@ -313,16 +313,12 @@ void UndeclareAsGPUThread()
 }
 
 // For the CPU Thread only.
-static void CPUSetInitialExecutionState(bool force_paused = false)
+static void CPUSetInitialExecutionState(Core::System& system, bool force_paused = false)
 {
   // The CPU starts in stepping state, and will wait until a new state is set before executing.
-  // SetState isn't safe to call from the CPU thread, so we ask the host thread to call it.
-  QueueHostJob([force_paused](Core::System& system) {
-    bool paused = SConfig::GetInstance().bBootToPause || force_paused;
-    SetState(system, paused ? State::Paused : State::Running, true, true);
-    Host_UpdateDisasmDialog();
-    Host_Message(HostMessageID::WMUserCreate);
-  });
+  const bool paused = SConfig::GetInstance().bBootToPause || force_paused;
+  SetState(system, paused ? State::Paused : State::Running, true, true);
+  Host_UpdateDisasmDialog();
 }
 
 // Create the CPU thread, which is a CPU + Video thread in Single Core mode.
@@ -371,7 +367,7 @@ static void CpuThread(Core::System& system, const std::optional<std::string>& sa
     if (!gdb_socket.empty() && !AchievementManager::GetInstance().IsHardcoreModeActive())
     {
       GDBStub::InitLocal(gdb_socket.data());
-      CPUSetInitialExecutionState(true);
+      CPUSetInitialExecutionState(system, true);
     }
     else
 #endif
@@ -380,11 +376,11 @@ static void CpuThread(Core::System& system, const std::optional<std::string>& sa
       if (gdb_port > 0 && !AchievementManager::GetInstance().IsHardcoreModeActive())
       {
         GDBStub::Init(gdb_port);
-        CPUSetInitialExecutionState(true);
+        CPUSetInitialExecutionState(system, true);
       }
       else
       {
-        CPUSetInitialExecutionState();
+        CPUSetInitialExecutionState(system);
       }
     }
   }
@@ -430,7 +426,7 @@ static void FifoPlayerThread(Core::System& system, const std::optional<std::stri
       s_state.compare_exchange_strong(expected, State::Running);
     }
 
-    CPUSetInitialExecutionState();
+    CPUSetInitialExecutionState(system);
 
     system.GetCPU().Run();
 
diff --git a/Source/Core/Core/Core.h b/Source/Core/Core/Core.h
index 815d049656d..a50fa54937c 100644
--- a/Source/Core/Core/Core.h
+++ b/Source/Core/Core/Core.h
@@ -143,8 +143,7 @@ bool IsGPUThread();
 
 bool WantsDeterminism();
 
-// SetState can't be called by the CPU thread, but can be called by any thread that isn't launched
-// by the emulator core.
+// SetState can be called from any thread.
 void SetState(Core::System& system, State state, bool report_state_change = true,
               bool override_achievement_restrictions = false);
 State GetState(Core::System& system);
diff --git a/Source/Core/Core/HW/CPU.cpp b/Source/Core/Core/HW/CPU.cpp
index d55f565c0c2..558b2098ab0 100644
--- a/Source/Core/Core/HW/CPU.cpp
+++ b/Source/Core/Core/HW/CPU.cpp
@@ -308,16 +308,18 @@ void CPUManager::SetStepping(bool stepping)
   {
     SetStateLocked(State::Stepping);
 
-    while (m_state_cpu_thread_active)
+    if (!Core::IsCPUThread())
     {
-      m_state_cpu_idle_cvar.wait(state_lock);
+      while (m_state_cpu_thread_active)
+        m_state_cpu_idle_cvar.wait(state_lock);
     }
 
     RunAdjacentSystems(false);
   }
   else if (SetStateLocked(State::Running))
   {
-    m_state_cpu_cvar.notify_one();
+    if (!Core::IsCPUThread())
+      m_state_cpu_cvar.notify_one();
     m_time_played_finish_sync.Set();
     RunAdjacentSystems(true);
   }
diff --git a/Source/Core/Core/HW/CPU.h b/Source/Core/Core/HW/CPU.h
index 887d899710f..1cd5905d40d 100644
--- a/Source/Core/Core/HW/CPU.h
+++ b/Source/Core/Core/HW/CPU.h
@@ -63,7 +63,7 @@ public:
   // StepOpcode (Steps one Opcode)
   void StepOpcode(Common::Event* event = nullptr);
 
-  // Enable or Disable Stepping. [Will deadlock if called from a system thread]
+  // Enable or Disable Stepping.
   void SetStepping(bool stepping);
 
   // Breakpoint activation for system threads. Similar to SetStepping(true).
diff --git a/Source/Core/Core/Host.h b/Source/Core/Core/Host.h
index a05508bae2c..2c19e99f4c9 100644
--- a/Source/Core/Core/Host.h
+++ b/Source/Core/Core/Host.h
@@ -43,8 +43,6 @@ enum class HostMessageID
 {
   // Begin at 10 in case there is already messages with wParam = 0, 1, 2 and so on
   WMUserStop = 10,
-  WMUserCreate,
-  WMUserSetCursor,
   WMUserJobDispatch,
 };