We construct a set of parton distribution functions (PDFs) in which fixed-order NLO and NNLO calculations are supplemented with soft-gluon (threshold) resummation up to NLL and NNLL accuracy respectively, suitable for use in conjunction with any QCD calculation in which threshold resummation is included at the level of partonic cross sections. These resummed PDF sets, based on the NNPDF3.0 analysis, are extracted from deep-inelastic scattering, Drell-Yan, and top quark pair production data, for which resummed calculations can be consistently used. We find that, close to threshold, the inclusion of resummed PDFs can partially compensate the enhancement in resummed matrix elements, leading to resummed hadronic cross-sections closer to the fixed-order calculation. On the other hand, far from threshold, resummed PDFs reduce to their fixed-order counterparts. Our results demonstrate the need for a consistent use of resummed PDFs in resummed calculations.