diff --git a/python-package/xgboost/compat.py b/python-package/xgboost/compat.py
index 642accb6e..43b2e11b9 100644
--- a/python-package/xgboost/compat.py
+++ b/python-package/xgboost/compat.py
@@ -33,9 +33,14 @@ except ImportError:
 # pandas
 try:
     from pandas import DataFrame
+    from pandas import MultiIndex
     PANDAS_INSTALLED = True
 except ImportError:
 
+    class MultiIndex(object):
+        """ dummy for pandas.MultiIndex  """
+        pass
+
     class DataFrame(object):
         """ dummy for pandas.DataFrame """
         pass
diff --git a/python-package/xgboost/core.py b/python-package/xgboost/core.py
index ca544f6d7..66d470648 100644
--- a/python-package/xgboost/core.py
+++ b/python-package/xgboost/core.py
@@ -15,7 +15,7 @@ import scipy.sparse
 
 from .libpath import find_lib_path
 
-from .compat import STRING_TYPES, PY3, DataFrame, py_str, PANDAS_INSTALLED
+from .compat import STRING_TYPES, PY3, DataFrame, MultiIndex, py_str, PANDAS_INSTALLED
 
 # c_bst_ulong corresponds to bst_ulong defined in xgboost/c_api.h
 c_bst_ulong = ctypes.c_uint64
@@ -184,7 +184,7 @@ Did not expect the data types in fields """
         raise ValueError(msg + ', '.join(bad_fields))
 
     if feature_names is None:
-        if hasattr(data.columns, 'to_frame'):  # MultiIndex
+        if isinstance(data.columns, MultiIndex):
             feature_names = [
                 ' '.join(map(str, i))
                 for i in data.columns