Cajal bodies (CBs) are subnuclear organelles of animal and plant cells. A role of CBs in the assembly and maturation of small nuclear ribonucleoproteins (snRNP) has been proposed but is poorly understood. Here we have addressed the question where U4/U6.U5 tri‐snRNP assembly occurs in the nucleus. The U4/U6.U5 tri‐snRNP is a central unit of the spliceosome and must be re‐formed from its components after each round of splicing. By combining RNAi and biochemical methods, we demonstrate that, after knockdown of the U4/U6‐specific hPrp31 (61 K) or the U5‐specific hPrp6 (102 K) protein in HeLa cells, tri‐snRNP formation is inhibited and stable U5 mono‐snRNPs and U4/U6 di‐snRNPs containing U4/U6 proteins and the U4/U6 recycling factor p110 accumulate. Thus, hPrp31 and hPrp6 form an essential connection between the U4/U6 and U5 snRNPs in vivo. Using fluorescence microscopy, we show that, in the absence of either hPrp31 or hPrp6, U4/U6 di‐snRNPs as well as p110 accumulate in Cajal bodies. In contrast, U5 snRNPs largely remain in nucleoplasmic speckles. Our data support the idea that CBs may play a role in tri‐snRNP recycling.