diff --git a/python-package/xgboost/dask.py b/python-package/xgboost/dask.py
index a17fbad70..8c679b75b 100644
--- a/python-package/xgboost/dask.py
+++ b/python-package/xgboost/dask.py
@@ -888,6 +888,29 @@ def _get_workers_from_data(
     return list(X_worker_map)
 
 
+def _filter_empty(
+    booster: Booster, local_history: TrainingCallback.EvalsLog, is_valid: bool
+) -> Optional[TrainReturnT]:
+    n_workers = collective.get_world_size()
+    non_empty = numpy.zeros(shape=(n_workers,), dtype=numpy.int32)
+    rank = collective.get_rank()
+    non_empty[rank] = int(is_valid)
+    non_empty = collective.allreduce(non_empty, collective.Op.SUM)
+    non_empty = non_empty.astype(bool)
+    ret: Optional[TrainReturnT] = {
+        "booster": booster,
+        "history": local_history,
+    }
+    for i in range(non_empty.size):
+        # This is the first valid worker
+        if non_empty[i] and i == rank:
+            return ret
+        if non_empty[i]:
+            return None
+
+    raise ValueError("None of the workers can provide a valid result.")
+
+
 async def _train_async(
     client: "distributed.Client",
     global_config: Dict[str, Any],
@@ -973,14 +996,10 @@ async def _train_async(
                 xgb_model=xgb_model,
                 callbacks=callbacks,
             )
-        if Xy.num_row() != 0:
-            ret: Optional[TrainReturnT] = {
-                "booster": booster,
-                "history": local_history,
-            }
-        else:
-            ret = None
-        return ret
+            # Don't return the boosters from empty workers. It's quite difficult to
+            # guarantee everything is in sync in the present of empty workers,
+            # especially with complex objectives like quantile.
+            return _filter_empty(booster, local_history, Xy.num_row() != 0)
 
     async with distributed.MultiLock(workers, client):
         if evals is not None: