diff --git a/python-package/xgboost/compat.py b/python-package/xgboost/compat.py
index 582b905f3..0c7b88965 100644
--- a/python-package/xgboost/compat.py
+++ b/python-package/xgboost/compat.py
@@ -81,13 +81,14 @@ else:
 # pandas
 try:
     from pandas import DataFrame, Series
-    from pandas import MultiIndex
+    from pandas import MultiIndex, Int64Index
     from pandas import concat as pandas_concat
 
     PANDAS_INSTALLED = True
 except ImportError:
 
     MultiIndex = object
+    Int64Index = object
     DataFrame = object
     Series = object
     pandas_concat = None
diff --git a/python-package/xgboost/core.py b/python-package/xgboost/core.py
index 5d4696886..bd3e601c3 100644
--- a/python-package/xgboost/core.py
+++ b/python-package/xgboost/core.py
@@ -18,7 +18,7 @@ import numpy as np
 import scipy.sparse
 
 from .compat import (
-    STRING_TYPES, DataFrame, MultiIndex, py_str,
+    STRING_TYPES, DataFrame, MultiIndex, Int64Index, py_str,
     PANDAS_INSTALLED, DataTable,
     CUDF_INSTALLED, CUDF_DataFrame, CUDF_Series, CUDF_MultiIndex,
     os_fspath, os_PathLike)
@@ -296,6 +296,8 @@ def _maybe_pandas_data(data, feature_names, feature_types):
                 ' '.join([str(x) for x in i])
                 for i in data.columns
             ]
+        elif isinstance(data.columns, Int64Index):
+            feature_names = list(map(str, data.columns))
         else:
             feature_names = data.columns.format()
 
diff --git a/tests/python/test_with_pandas.py b/tests/python/test_with_pandas.py
index cbdce64b1..e91627713 100644
--- a/tests/python/test_with_pandas.py
+++ b/tests/python/test_with_pandas.py
@@ -83,6 +83,13 @@ class TestPandas(unittest.TestCase):
         assert dm.num_row() == 3
         assert dm.num_col() == 2
 
+        df_int = pd.DataFrame([[1, 1.1], [2, 2.2]], columns=[9, 10])
+        dm_int = xgb.DMatrix(df_int)
+        df_range = pd.DataFrame([[1, 1.1], [2, 2.2]], columns=range(9, 11, 1))
+        dm_range = xgb.DMatrix(df_range)
+        assert dm_int.feature_names == ['9', '10']  # assert not "9 "
+        assert dm_int.feature_names == dm_range.feature_names
+
         # test MultiIndex as columns
         df = pd.DataFrame(
             [