Methods, data structures, instructions, and techniques for structured exception handling for user-level threads in a multi-threading system are provided. Registered filter routines may be dispatched to a thread unit not managed by the operating system (OS). The dispatch may occur by allowing an OS-managed thread unit (proxy) to invoke the OS-provided structured exception handling service (including dispatcher) on behalf of the sequestered thread unit. Alternatively, an OS-managed thread unit may include dispatch code and may, without OS intervention, dispatch the filter routine to the sequestered thread unit. Other embodiments are also described and claimed.