diff --git a/doc/cli.rst b/doc/cli.rst
index 0c49c8d44..aff6f30be 100644
--- a/doc/cli.rst
+++ b/doc/cli.rst
@@ -2,4 +2,4 @@
 XGBoost Command Line version
 ############################
 
-See `XGBoost Command Line walkthrough <https://github.com/dmlc/xgboost/blob/master/demo/binary_classification/README.md>`_.
+See `XGBoost Command Line walkthrough <https://github.com/dmlc/xgboost/tree/master/demo/CLI/binary_classification>`_.