diff --git a/CHANGES.txt b/CHANGES.txt
--- a/CHANGES.txt
+++ b/CHANGES.txt
@@ -3,6 +3,12 @@
 =======
 
 -----
+2.0.3
+-----
+
+* Issue #131: Fix RuntimeError when constructing an egg fetcher.
+
+-----
 2.0.2
 -----
 
diff --git a/setuptools/dist.py b/setuptools/dist.py
--- a/setuptools/dist.py
+++ b/setuptools/dist.py
@@ -295,7 +295,7 @@
                 'find_links', 'site_dirs', 'index_url', 'optimize',
                 'site_dirs', 'allow_hosts'
             )
-            for key in opts.keys():
+            for key in list(opts):
                 if key not in keep:
                     del opts[key]   # don't use any other settings
             if self.dependency_links: