diff --git a/src/common/hist_util.cu b/src/common/hist_util.cu
index 5da1006ed..fe1305d4b 100644
--- a/src/common/hist_util.cu
+++ b/src/common/hist_util.cu
@@ -264,7 +264,6 @@ void ProcessWeightedBatch(int device, const SparsePage& page,
         d_temp_weights[idx] = weights[group];
       });
   } else {
-    CHECK_EQ(weights.size(), page.offset.Size() - 1);
     dh::LaunchN(device, temp_weights.size(), [=] __device__(size_t idx) {
         size_t element_idx = idx + begin;
         size_t ridx = thrust::upper_bound(thrust::seq, row_ptrs.begin(),
diff --git a/tests/cpp/common/test_hist_util.cu b/tests/cpp/common/test_hist_util.cu
index d8a75ba49..3ec49668a 100644
--- a/tests/cpp/common/test_hist_util.cu
+++ b/tests/cpp/common/test_hist_util.cu
@@ -209,6 +209,23 @@ TEST(HistUtil, DeviceSketchMultipleColumnsExternal) {
   }
 }
 
+// See https://github.com/dmlc/xgboost/issues/5866.
+TEST(HistUtil, DeviceSketchExternalMemoryWithWeights) {
+  int bin_sizes[] = {2, 16, 256, 512};
+  int sizes[] = {100, 1000, 1500};
+  int num_columns = 5;
+  dmlc::TemporaryDirectory temp;
+  for (auto num_rows : sizes) {
+    auto x = GenerateRandom(num_rows, num_columns);
+    auto dmat = GetExternalMemoryDMatrixFromData(x, num_rows, num_columns, 100, temp);
+    dmat->Info().weights_.HostVector() = GenerateRandomWeights(num_rows);
+    for (auto num_bins : bin_sizes) {
+      auto cuts = DeviceSketch(0, dmat.get(), num_bins);
+      ValidateCuts(cuts, dmat.get(), num_bins);
+    }
+  }
+}
+
 template <typename Adapter>
 void ValidateBatchedCuts(Adapter adapter, int num_bins, int num_columns, int num_rows,
                          DMatrix* dmat) {