diff --git a/src/c_api/c_api.cc b/src/c_api/c_api.cc
index f1c02188f..d43f9fe00 100644
--- a/src/c_api/c_api.cc
+++ b/src/c_api/c_api.cc
@@ -413,6 +413,9 @@ XGB_DLL int XGDMatrixSliceDMatrix(DMatrixHandle handle,
     if (src.info.weights.size() != 0) {
       ret.info.weights.push_back(src.info.weights[ridx]);
     }
+    if (src.info.base_margin.size() != 0) {
+      ret.info.base_margin.push_back(src.info.base_margin[ridx]);
+    }
     if (src.info.root_index.size() != 0) {
       ret.info.root_index.push_back(src.info.root_index[ridx]);
     }