diff --git a/.github/workflows/main.yml b/.github/workflows/main.yml
index 131127e7e..f98a6b0d6 100644
--- a/.github/workflows/main.yml
+++ b/.github/workflows/main.yml
@@ -174,12 +174,7 @@ jobs:
         python -m pip install wheel setuptools mypy dask[complete] distributed
     - name: Run mypy
       run: |
-        cd python-package
-        # dask is required to pass, others are not
-        mypy ./xgboost/dask.py ../tests/python/test_with_dask.py --follow-imports=silent
-        mypy ../tests/python-gpu/test_gpu_with_dask.py --follow-imports=silent
-        # If any of the above failed, contributor won't see the next error.
-        mypy . || true
+        make mypy
 
   doxygen:
     runs-on: ubuntu-latest
diff --git a/Makefile b/Makefile
index 8bc136283..f8ee45d3a 100644
--- a/Makefile
+++ b/Makefile
@@ -86,6 +86,15 @@ cover: check
 	)
 endif
 
+
+# dask is required to pass, others are not
+# If any of the dask tests failed, contributor won't see the other error.
+mypy:
+	cd python-package; \
+	mypy ./xgboost/dask.py ../tests/python/test_with_dask.py --follow-imports=silent; \
+	mypy ../tests/python-gpu/test_gpu_with_dask.py --follow-imports=silent; \
+	mypy . || true ;
+
 clean:
 	$(RM) -rf build lib bin *~ */*~ */*/*~ */*/*/*~ */*.o */*/*.o */*/*/*.o #xgboost
 	$(RM) -rf build_tests *.gcov tests/cpp/xgboost_test
diff --git a/tests/python/test_with_dask.py b/tests/python/test_with_dask.py
index 180a64400..c9155161c 100644
--- a/tests/python/test_with_dask.py
+++ b/tests/python/test_with_dask.py
@@ -6,7 +6,7 @@ import xgboost as xgb
 import sys
 import numpy as np
 import json
-from typing import List, Tuple, Union, Dict, Optional, Callable, Type
+from typing import List, Tuple, Dict, Optional, Type, Any
 import asyncio
 import tempfile
 from sklearn.datasets import make_classification
@@ -953,6 +953,73 @@ class TestWithDask:
                 # Subtract the on disk resource from each worker
                 assert cnt - n_workers == n_partitions
 
+    def run_shap(self, X: Any, y: Any, params: Dict[str, Any], client: "Client") -> None:
+        X, y = da.from_array(X), da.from_array(y)
+
+        Xy = xgb.dask.DaskDMatrix(client, X, y)
+        booster = xgb.dask.train(client, params, Xy, num_boost_round=10)['booster']
+
+        test_Xy = xgb.dask.DaskDMatrix(client, X, y)
+
+        shap = xgb.dask.predict(client, booster, test_Xy, pred_contribs=True).compute()
+        margin = xgb.dask.predict(client, booster, test_Xy, output_margin=True).compute()
+        assert np.allclose(np.sum(shap, axis=len(shap.shape) - 1), margin, 1e-5, 1e-5)
+
+    def run_shap_cls_sklearn(self, X: Any, y: Any, client: "Client") -> None:
+        X, y = da.from_array(X), da.from_array(y)
+        cls = xgb.dask.DaskXGBClassifier()
+        cls.client = client
+        cls.fit(X, y)
+        booster = cls.get_booster()
+
+        test_Xy = xgb.dask.DaskDMatrix(client, X, y)
+
+        shap = xgb.dask.predict(client, booster, test_Xy, pred_contribs=True).compute()
+        margin = xgb.dask.predict(client, booster, test_Xy, output_margin=True).compute()
+        assert np.allclose(np.sum(shap, axis=len(shap.shape) - 1), margin, 1e-5, 1e-5)
+
+    def test_shap(self, client: "Client") -> None:
+        from sklearn.datasets import load_boston, load_digits
+        X, y = load_boston(return_X_y=True)
+        params = {'objective': 'reg:squarederror'}
+        self.run_shap(X, y, params, client)
+
+        X, y = load_digits(return_X_y=True)
+        params = {'objective': 'multi:softmax', 'num_class': 10}
+        self.run_shap(X, y, params, client)
+        params = {'objective': 'multi:softprob', 'num_class': 10}
+        self.run_shap(X, y, params, client)
+
+        self.run_shap_cls_sklearn(X, y, client)
+
+    def run_shap_interactions(
+        self,
+        X: Any,
+        y: Any,
+        params: Dict[str, Any],
+        client: "Client"
+    ) -> None:
+        X, y = da.from_array(X), da.from_array(y)
+
+        Xy = xgb.dask.DaskDMatrix(client, X, y)
+        booster = xgb.dask.train(client, params, Xy, num_boost_round=10)['booster']
+
+        test_Xy = xgb.dask.DaskDMatrix(client, X, y)
+
+        shap = xgb.dask.predict(
+            client, booster, test_Xy, pred_interactions=True
+        ).compute()
+        margin = xgb.dask.predict(client, booster, test_Xy, output_margin=True).compute()
+        assert np.allclose(np.sum(shap, axis=(len(shap.shape) - 1, len(shap.shape) - 2)),
+                           margin,
+                           1e-5, 1e-5)
+
+    def test_shap_interactions(self, client: "Client") -> None:
+        from sklearn.datasets import load_boston
+        X, y = load_boston(return_X_y=True)
+        params = {'objective': 'reg:squarederror'}
+        self.run_shap_interactions(X, y, params, client)
+
     @pytest.mark.skipif(**tm.no_sklearn())
     def test_sklearn_io(self, client: 'Client') -> None:
         from sklearn.datasets import load_digits