diff --git a/include/xgboost/data.h b/include/xgboost/data.h
index a0674f96b..57babfafe 100644
--- a/include/xgboost/data.h
+++ b/include/xgboost/data.h
@@ -441,6 +441,13 @@ class DMatrix {
   DMatrix()  = default;
   /*! \brief meta information of the dataset */
   virtual MetaInfo& Info() = 0;
+  virtual void SetInfo(const char *key, const void *dptr, DataType dtype,
+                       size_t num) {
+    this->Info().SetInfo(key, dptr, dtype, num);
+  }
+  virtual void SetInfo(const char* key, std::string const& interface_str) {
+    this->Info().SetInfo(key, interface_str);
+  }
   /*! \brief meta information of the dataset */
   virtual const MetaInfo& Info() const = 0;
   /**
diff --git a/src/data/proxy_dmatrix.cu b/src/data/proxy_dmatrix.cu
new file mode 100644
index 000000000..088351021
--- /dev/null
+++ b/src/data/proxy_dmatrix.cu
@@ -0,0 +1,24 @@
+/*!
+ * Copyright 2020 XGBoost contributors
+ */
+#include "proxy_dmatrix.h"
+#include "device_adapter.cuh"
+
+namespace xgboost {
+namespace data {
+
+void DMatrixProxy::FromCudaColumnar(std::string interface_str) {
+  std::shared_ptr<data::CudfAdapter> adapter {new data::CudfAdapter(interface_str)};
+  auto const& value = adapter->Value();
+  this->batch_ = adapter;
+  device_ = adapter->DeviceIdx();
+}
+
+void DMatrixProxy::FromCudaArray(std::string interface_str) {
+  std::shared_ptr<CupyAdapter> adapter(new CupyAdapter(interface_str));
+  this->batch_ = adapter;
+  device_ = adapter->DeviceIdx();
+}
+
+}  // namespace data
+}  // namespace xgboost
diff --git a/src/data/proxy_dmatrix.h b/src/data/proxy_dmatrix.h
new file mode 100644
index 000000000..1eb00e130
--- /dev/null
+++ b/src/data/proxy_dmatrix.h
@@ -0,0 +1,104 @@
+/*!
+ * Copyright 2020 XGBoost contributors
+ */
+#ifndef XGBOOST_DATA_PROXY_DMATRIX_H_
+#define XGBOOST_DATA_PROXY_DMATRIX_H_
+
+#include <dmlc/any.h>
+
+#include <memory>
+#include <string>
+#include <utility>
+
+#include "xgboost/data.h"
+#include "xgboost/generic_parameters.h"
+#include "xgboost/c_api.h"
+#include "adapter.h"
+
+namespace xgboost {
+namespace data {
+/*
+ * \brief A proxy to external iterator.
+ */
+template <typename ResetFn, typename NextFn>
+class DataIterProxy {
+  DataIterHandle iter_;
+  ResetFn* reset_;
+  NextFn* next_;
+
+ public:
+  DataIterProxy(DataIterHandle iter, ResetFn* reset, NextFn* next) :
+      iter_{iter},
+      reset_{reset}, next_{next} {}
+
+  bool Next() {
+    return next_(iter_);
+  }
+  void Reset() {
+    reset_(iter_);
+  }
+};
+
+/*
+ * \brief A proxy of DMatrix used by external iterator.
+ */
+class DMatrixProxy : public DMatrix {
+  MetaInfo info_;
+  dmlc::any batch_;
+  int32_t device_ { xgboost::GenericParameter::kCpuId };
+
+#if defined(XGBOOST_USE_CUDA)
+  void FromCudaColumnar(std::string interface_str);
+  void FromCudaArray(std::string interface_str);
+#endif  // defined(XGBOOST_USE_CUDA)
+
+ public:
+  int DeviceIdx() const { return device_; }
+
+  void SetData(char const* c_interface) {
+    common::AssertGPUSupport();
+#if defined(XGBOOST_USE_CUDA)
+    std::string interface_str = c_interface;
+    Json json_array_interface =
+        Json::Load({interface_str.c_str(), interface_str.size()});
+    if (IsA<Array>(json_array_interface)) {
+      this->FromCudaColumnar(interface_str);
+    } else {
+      this->FromCudaArray(interface_str);
+    }
+#endif  // defined(XGBOOST_USE_CUDA)
+  }
+
+  MetaInfo& Info() override { return info_; }
+  MetaInfo const& Info() const override { return info_; }
+  bool SingleColBlock() const override { return true; }
+  bool EllpackExists() const override { return true; }
+  bool SparsePageExists() const override { return false; }
+  DMatrix *Slice(common::Span<int32_t const> ridxs) override {
+    LOG(FATAL) << "Slicing DMatrix is not supported for Proxy DMatrix.";
+    return nullptr;
+  }
+  BatchSet<SparsePage> GetRowBatches() override {
+    LOG(FATAL) << "Not implemented.";
+    return BatchSet<SparsePage>(BatchIterator<SparsePage>(nullptr));
+  }
+  BatchSet<CSCPage> GetColumnBatches() override {
+    LOG(FATAL) << "Not implemented.";
+    return BatchSet<CSCPage>(BatchIterator<CSCPage>(nullptr));
+  }
+  BatchSet<SortedCSCPage> GetSortedColumnBatches() override {
+    LOG(FATAL) << "Not implemented.";
+    return BatchSet<SortedCSCPage>(BatchIterator<SortedCSCPage>(nullptr));
+  }
+  BatchSet<EllpackPage> GetEllpackBatches(const BatchParam& param) override {
+    LOG(FATAL) << "Not implemented.";
+    return BatchSet<EllpackPage>(BatchIterator<EllpackPage>(nullptr));
+  }
+
+  dmlc::any Adapter() const {
+    return batch_;
+  }
+};
+}  // namespace data
+}  // namespace xgboost
+#endif  // XGBOOST_DATA_PROXY_DMATRIX_H_
diff --git a/tests/cpp/data/test_proxy_dmatrix.cu b/tests/cpp/data/test_proxy_dmatrix.cu
new file mode 100644
index 000000000..5460995d9
--- /dev/null
+++ b/tests/cpp/data/test_proxy_dmatrix.cu
@@ -0,0 +1,46 @@
+#include <gtest/gtest.h>
+#include <xgboost/host_device_vector.h>
+#include <memory>
+#include "../helpers.h"
+#include "../../../src/data/device_adapter.cuh"
+#include "../../../src/data/proxy_dmatrix.h"
+
+namespace xgboost {
+namespace data {
+TEST(ProxyDMatrix, Basic) {
+  constexpr size_t kRows{100}, kCols{100};
+  HostDeviceVector<float> storage;
+  auto data = RandomDataGenerator(kRows, kCols, 0.5)
+                  .Device(0)
+                  .GenerateArrayInterface(&storage);
+  std::vector<HostDeviceVector<float>> label_storage(1);
+  auto labels = RandomDataGenerator(kRows, 1, 0)
+                    .Device(0)
+                    .GenerateColumnarArrayInterface(&label_storage);
+
+  DMatrixProxy proxy;
+  proxy.SetData(data.c_str());
+  proxy.SetInfo("label", labels.c_str());
+
+  ASSERT_EQ(proxy.Adapter().type(), typeid(std::shared_ptr<CupyAdapter>));
+  ASSERT_EQ(proxy.Info().labels_.Size(), kRows);
+  ASSERT_EQ(dmlc::get<std::shared_ptr<CupyAdapter>>(proxy.Adapter())->NumRows(),
+            kRows);
+  ASSERT_EQ(
+      dmlc::get<std::shared_ptr<CupyAdapter>>(proxy.Adapter())->NumColumns(),
+      kCols);
+
+  std::vector<HostDeviceVector<float>> columnar_storage(kCols);
+  data = RandomDataGenerator(kRows, kCols, 0)
+                    .Device(0)
+                    .GenerateColumnarArrayInterface(&columnar_storage);
+  proxy.SetData(data.c_str());
+  ASSERT_EQ(proxy.Adapter().type(), typeid(std::shared_ptr<CudfAdapter>));
+  ASSERT_EQ(dmlc::get<std::shared_ptr<CudfAdapter>>(proxy.Adapter())->NumRows(),
+            kRows);
+  ASSERT_EQ(
+      dmlc::get<std::shared_ptr<CudfAdapter>>(proxy.Adapter())->NumColumns(),
+      kCols);
+}
+}  // namespace data
+}  // namespace xgboost