diff --git a/python-package/xgboost/testing/__init__.py b/python-package/xgboost/testing/__init__.py
index 4eeaad6de..c6db8c8b3 100644
--- a/python-package/xgboost/testing/__init__.py
+++ b/python-package/xgboost/testing/__init__.py
@@ -107,6 +107,12 @@ def no_dask() -> PytestSkip:
     return no_mod("dask")
 
 
+def no_dask_ml() -> PytestSkip:
+    if sys.platform.startswith("win"):
+        return {"reason": "Unsupported platform.", "condition": True}
+    return no_mod("dask_ml")
+
+
 def no_spark() -> PytestSkip:
     if sys.platform.startswith("win") or sys.platform.startswith("darwin"):
         return {"reason": "Unsupported platform.", "condition": True}
diff --git a/tests/python-gpu/test_gpu_demos.py b/tests/python-gpu/test_gpu_demos.py
index ef181a67e..2c4260fd1 100644
--- a/tests/python-gpu/test_gpu_demos.py
+++ b/tests/python-gpu/test_gpu_demos.py
@@ -27,13 +27,3 @@ def test_categorical_demo():
     script = os.path.join(td.PYTHON_DEMO_DIR, 'categorical.py')
     cmd = ['python', script]
     subprocess.check_call(cmd)
-
-
-@pytest.mark.skipif(**tm.no_dask())
-@pytest.mark.skipif(**tm.no_dask_cuda())
-@pytest.mark.skipif(**tm.no_cupy())
-@pytest.mark.mgpu
-def test_dask_training():
-    script = os.path.join(tm.demo_dir(__file__), 'dask', 'gpu_training.py')
-    cmd = ['python', script]
-    subprocess.check_call(cmd)
diff --git a/tests/test_distributed/test_gpu_with_dask/test_gpu_demos.py b/tests/test_distributed/test_gpu_with_dask/test_gpu_demos.py
new file mode 100644
index 000000000..92539aaa1
--- /dev/null
+++ b/tests/test_distributed/test_gpu_with_dask/test_gpu_demos.py
@@ -0,0 +1,25 @@
+import os
+import subprocess
+
+import pytest
+
+from xgboost import testing as tm
+
+
+@pytest.mark.skipif(**tm.no_dask())
+@pytest.mark.skipif(**tm.no_dask_cuda())
+@pytest.mark.skipif(**tm.no_cupy())
+@pytest.mark.mgpu
+def test_dask_training():
+    script = os.path.join(tm.demo_dir(__file__), "dask", "gpu_training.py")
+    cmd = ["python", script]
+    subprocess.check_call(cmd)
+
+
+@pytest.mark.skipif(**tm.no_dask_cuda())
+@pytest.mark.skipif(**tm.no_dask())
+@pytest.mark.mgpu
+def test_dask_sklearn_demo():
+    script = os.path.join(tm.demo_dir(__file__), "dask", "sklearn_gpu_training.py")
+    cmd = ["python", script]
+    subprocess.check_call(cmd)
diff --git a/tests/test_distributed/test_with_dask/test_demos.py b/tests/test_distributed/test_with_dask/test_demos.py
new file mode 100644
index 000000000..051774ac0
--- /dev/null
+++ b/tests/test_distributed/test_with_dask/test_demos.py
@@ -0,0 +1,36 @@
+import os
+import subprocess
+
+import pytest
+
+from xgboost import testing as tm
+
+
+@pytest.mark.skipif(**tm.no_dask())
+def test_dask_cpu_training_demo():
+    script = os.path.join(tm.demo_dir(__file__), "dask", "cpu_training.py")
+    cmd = ["python", script]
+    subprocess.check_call(cmd)
+
+
+@pytest.mark.skipif(**tm.no_dask())
+def test_dask_cpu_survival_demo():
+    script = os.path.join(tm.demo_dir(__file__), "dask", "cpu_survival.py")
+    cmd = ["python", script]
+    subprocess.check_call(cmd)
+
+
+# Not actually run on CI due to missing dask_ml.
+@pytest.mark.skipif(**tm.no_dask())
+@pytest.mark.skipif(**tm.no_dask_ml())
+def test_dask_callbacks_demo():
+    script = os.path.join(tm.demo_dir(__file__), "dask", "dask_callbacks.py")
+    cmd = ["python", script]
+    subprocess.check_call(cmd)
+
+
+@pytest.mark.skipif(**tm.no_dask())
+def test_dask_sklearn_demo():
+    script = os.path.join(tm.demo_dir(__file__), "dask", "sklearn_cpu_training.py")
+    cmd = ["python", script]
+    subprocess.check_call(cmd)