diff --git a/demo/dask/callbacks.py b/demo/dask/callbacks.py
new file mode 100644
index 000000000..e3bf5b39d
--- /dev/null
+++ b/demo/dask/callbacks.py
@@ -0,0 +1,86 @@
+"""Example of using callbacks in Dask"""
+import numpy as np
+import xgboost as xgb
+from xgboost.dask import DaskDMatrix
+from dask.distributed import Client
+from dask.distributed import LocalCluster
+from dask_ml.datasets import make_regression
+from dask_ml.model_selection import train_test_split
+
+
+def probability_for_going_backward(epoch):
+    return 0.999 / (1.0 + 0.05 * np.log(1.0 + epoch))
+
+
+# All callback functions must inherit from TrainingCallback
+class CustomEarlyStopping(xgb.callback.TrainingCallback):
+    """A custom early stopping class where early stopping is determined stochastically.
+    In the beginning, allow the metric to become worse with a probability of 0.999.
+    As boosting progresses, the probability should be adjusted downward"""
+
+    def __init__(self, *, validation_set, target_metric, maximize, seed):
+        self.validation_set = validation_set
+        self.target_metric = target_metric
+        self.maximize = maximize
+        self.seed = seed
+        self.rng = np.random.default_rng(seed=seed)
+        if maximize:
+            self.better = lambda x, y: x > y
+        else:
+            self.better = lambda x, y: x < y
+
+    def after_iteration(self, model, epoch, evals_log):
+        metric_history = evals_log[self.validation_set][self.target_metric]
+        if len(metric_history) < 2 or self.better(
+            metric_history[-1], metric_history[-2]
+        ):
+            return False  # continue training
+        p = probability_for_going_backward(epoch)
+        go_backward = self.rng.choice(2, size=(1,), replace=True, p=[1 - p, p]).astype(
+            np.bool
+        )[0]
+        print(
+            "The validation metric went into the wrong direction. "
+            + f"Stopping training with probability {1 - p}..."
+        )
+        if go_backward:
+            return False  # continue training
+        else:
+            return True  # stop training
+
+
+def main(client):
+    m = 100000
+    n = 100
+    X, y = make_regression(n_samples=m, n_features=n, chunks=200, random_state=0)
+    X_train, X_test, y_train, y_test = train_test_split(X, y, random_state=0)
+
+    dtrain = DaskDMatrix(client, X_train, y_train)
+    dtest = DaskDMatrix(client, X_test, y_test)
+
+    output = xgb.dask.train(
+        client,
+        {
+            "verbosity": 1,
+            "tree_method": "hist",
+            "objective": "reg:squarederror",
+            "eval_metric": "rmse",
+            "max_depth": 6,
+            "learning_rate": 1.0,
+        },
+        dtrain,
+        num_boost_round=1000,
+        evals=[(dtrain, "train"), (dtest, "test")],
+        callbacks=[
+            CustomEarlyStopping(
+                validation_set="test", target_metric="rmse", maximize=False, seed=0
+            )
+        ],
+    )
+
+
+if __name__ == "__main__":
+    # or use other clusters for scaling
+    with LocalCluster(n_workers=4, threads_per_worker=1) as cluster:
+        with Client(cluster) as client:
+            main(client)