diff --git a/demo/dask/cpu_training.py b/demo/dask/cpu_training.py
index d520b3639..b86958e8f 100644
--- a/demo/dask/cpu_training.py
+++ b/demo/dask/cpu_training.py
@@ -22,7 +22,6 @@ def main(client):
     # evaluation metrics.
     output = xgb.dask.train(client,
                             {'verbosity': 1,
-                             'nthread': 1,
                              'tree_method': 'hist'},
                             dtrain,
                             num_boost_round=4, evals=[(dtrain, 'train')])
@@ -37,6 +36,6 @@ def main(client):
 
 if __name__ == '__main__':
     # or use other clusters for scaling
-    with LocalCluster(n_workers=7, threads_per_worker=1) as cluster:
+    with LocalCluster(n_workers=7, threads_per_worker=4) as cluster:
         with Client(cluster) as client:
             main(client)
diff --git a/demo/dask/gpu_training.py b/demo/dask/gpu_training.py
index 853710e31..3b3363f2f 100644
--- a/demo/dask/gpu_training.py
+++ b/demo/dask/gpu_training.py
@@ -22,7 +22,6 @@ def main(client):
     # evaluation metrics.
     output = xgb.dask.train(client,
                             {'verbosity': 2,
-                             'nthread': 1,
                              # Golden line for GPU training
                              'tree_method': 'gpu_hist'},
                             dtrain,
@@ -41,6 +40,6 @@ if __name__ == '__main__':
     # `LocalCUDACluster` is used for assigning GPU to XGBoost processes.  Here
     # `n_workers` represents the number of GPUs since we use one GPU per worker
     # process.
-    with LocalCUDACluster(n_workers=2, threads_per_worker=1) as cluster:
+    with LocalCUDACluster(n_workers=2, threads_per_worker=4) as cluster:
         with Client(cluster) as client:
             main(client)
diff --git a/doc/tutorials/dask.rst b/doc/tutorials/dask.rst
index 3bb0c8a66..a9a8b0837 100644
--- a/doc/tutorials/dask.rst
+++ b/doc/tutorials/dask.rst
@@ -37,7 +37,6 @@ illustrates the basic usage:
 
   output = xgb.dask.train(client,
                           {'verbosity': 2,
-                           'nthread': 1,
                            'tree_method': 'hist'},
                           dtrain,
                           num_boost_round=4, evals=[(dtrain, 'train')])
@@ -76,6 +75,32 @@ Another set of API is a Scikit-Learn wrapper, which mimics the stateful Scikit-L
 interface with ``DaskXGBClassifier`` and ``DaskXGBRegressor``.  See ``xgboost/demo/dask``
 for more examples.
 
+*******
+Threads
+*******
+
+XGBoost has built in support for parallel computation through threads by the setting
+``nthread`` parameter (``n_jobs`` for scikit-learn).  If these parameters are set, they
+will override the configuration in Dask.  For example:
+
+.. code-block:: python
+
+  with LocalCluster(n_workers=7, threads_per_worker=4) as cluster:
+
+There are 4 threads allocated for each dask worker.  Then by default XGBoost will use 4
+threads in each process for both training and prediction.  But if ``nthread`` parameter is
+set:
+
+.. code-block:: python
+
+  output = xgb.dask.train(client,
+                          {'verbosity': 1,
+                           'nthread': 8,
+                           'tree_method': 'hist'},
+                          dtrain,
+                          num_boost_round=4, evals=[(dtrain, 'train')])
+
+XGBoost will use 8 threads in each training process.
 
 *****************************************************************************
 Why is the initialization of ``DaskDMatrix``  so slow and throws weird errors
diff --git a/python-package/xgboost/dask.py b/python-package/xgboost/dask.py
index fd8e58a84..bd581b6a8 100644
--- a/python-package/xgboost/dask.py
+++ b/python-package/xgboost/dask.py
@@ -42,6 +42,9 @@ from .sklearn import XGBModel, XGBClassifierBase, xgboost_model_doc
 #   - Ranking
 
 
+LOGGER = logging.getLogger('[xgboost.dask]')
+
+
 def _start_tracker(host, n_workers):
     """Start Rabit tracker """
     env = {'DMLC_NUM_WORKER': n_workers}
@@ -62,7 +65,7 @@ def _assert_dask_support():
     if platform.system() == 'Windows':
         msg = 'Windows is not officially supported for dask/xgboost,'
         msg += ' contribution are welcomed.'
-        logging.warning(msg)
+        LOGGER.warning(msg)
 
 
 class RabitContext:
@@ -75,11 +78,11 @@ class RabitContext:
 
     def __enter__(self):
         rabit.init(self.args)
-        logging.debug('-------------- rabit say hello ------------------')
+        LOGGER.debug('-------------- rabit say hello ------------------')
 
     def __exit__(self, *args):
         rabit.finalize()
-        logging.debug('--------------- rabit say bye ------------------')
+        LOGGER.debug('--------------- rabit say bye ------------------')
 
 
 def concat(value):
@@ -301,7 +304,7 @@ class DaskDMatrix:
                 'All workers associated with this DMatrix: {workers}'.format(
                     address=worker.address,
                     workers=set(self.worker_map.keys()))
-            logging.warning(msg)
+            LOGGER.warning(msg)
             d = DMatrix(numpy.empty((0, 0)),
                         feature_names=self.feature_names,
                         feature_types=self.feature_types)
@@ -324,7 +327,8 @@ class DaskDMatrix:
                           weight=weights,
                           missing=self.missing,
                           feature_names=self.feature_names,
-                          feature_types=self.feature_types)
+                          feature_types=self.feature_types,
+                          nthread=worker.nthreads)
         return dmatrix
 
     def get_worker_data_shape(self, worker):
@@ -399,7 +403,7 @@ def train(client, params, dtrain, *args, evals=(), **kwargs):
 
     def dispatched_train(worker_addr):
         '''Perform training on a single worker.'''
-        logging.info('Training on %s', str(worker_addr))
+        LOGGER.info('Training on %s', str(worker_addr))
         worker = distributed_get_worker()
         with RabitContext(rabit_args):
             local_dtrain = dtrain.get_worker_data(worker)
@@ -415,6 +419,15 @@ def train(client, params, dtrain, *args, evals=(), **kwargs):
 
             local_history = {}
             local_param = params.copy()  # just to be consistent
+            msg = 'Overriding `nthreads` defined in dask worker.'
+            if 'nthread' in local_param.keys():
+                msg += '`nthread` is specified.  ' + msg
+                LOGGER.warning(msg)
+            elif 'n_jobs' in local_param.keys():
+                msg = '`n_jobs` is specified.  ' + msg
+                LOGGER.warning(msg)
+            else:
+                local_param['nthread'] = worker.nthreads
             bst = worker_train(params=local_param,
                                dtrain=local_dtrain,
                                *args,
@@ -477,15 +490,17 @@ def predict(client, model, data, *args):
 
     def dispatched_predict(worker_id):
         '''Perform prediction on each worker.'''
-        logging.info('Predicting on %d', worker_id)
+        LOGGER.info('Predicting on %d', worker_id)
         worker = distributed_get_worker()
         list_of_parts = data.get_worker_x_ordered(worker)
         predictions = []
+        booster.set_param({'nthread': worker.nthreads})
         for part, order in list_of_parts:
             local_x = DMatrix(part,
                               feature_names=feature_names,
                               feature_types=feature_types,
-                              missing=missing)
+                              missing=missing,
+                              nthread=worker.nthreads)
             predt = booster.predict(data=local_x,
                                     validate_features=local_x.num_row() != 0,
                                     *args)
@@ -495,7 +510,7 @@ def predict(client, model, data, *args):
 
     def dispatched_get_shape(worker_id):
         '''Get shape of data in each worker.'''
-        logging.info('Trying to get data shape on %d', worker_id)
+        LOGGER.info('Trying to get data shape on %d', worker_id)
         worker = distributed_get_worker()
         list_of_parts = data.get_worker_x_ordered(worker)
         shapes = []
diff --git a/tests/python/test_with_dask.py b/tests/python/test_with_dask.py
index 445a2fc1f..225232710 100644
--- a/tests/python/test_with_dask.py
+++ b/tests/python/test_with_dask.py
@@ -3,6 +3,7 @@ import pytest
 import xgboost as xgb
 import sys
 import numpy as np
+import json
 
 if sys.platform.startswith("win"):
     pytest.skip("Skipping dask tests on Windows", allow_module_level=True)
@@ -60,7 +61,7 @@ def test_from_dask_dataframe():
 
 
 def test_from_dask_array():
-    with LocalCluster(n_workers=5) as cluster:
+    with LocalCluster(n_workers=5, threads_per_worker=5) as cluster:
         with Client(cluster) as client:
             X, y = generate_array()
             dtrain = DaskDMatrix(client, X, y)
@@ -74,11 +75,15 @@ def test_from_dask_array():
             # force prediction to be computed
             prediction = prediction.compute()
 
-            single_node_predt = result['booster'].predict(
+            booster = result['booster']
+            single_node_predt = booster.predict(
                 xgb.DMatrix(X.compute())
             )
             np.testing.assert_allclose(prediction, single_node_predt)
 
+            config = json.loads(booster.save_config())
+            assert int(config['learner']['generic_param']['nthread']) == 5
+
 
 def test_dask_regressor():
     with LocalCluster(n_workers=5) as cluster: