diff --git a/python-package/setup.py b/python-package/setup.py
index 93f36de7b..4d41a48ee 100644
--- a/python-package/setup.py
+++ b/python-package/setup.py
@@ -62,6 +62,7 @@ def copy_tree(src_dir: str, target_dir: str) -> None:
     src = os.path.join(src_dir, 'src')
     inc = os.path.join(src_dir, 'include')
     dmlc_core = os.path.join(src_dir, 'dmlc-core')
+    gputreeshap = os.path.join(src_dir, "gputreeshap")
     rabit = os.path.join(src_dir, 'rabit')
     cmake = os.path.join(src_dir, 'cmake')
     plugin = os.path.join(src_dir, 'plugin')
@@ -69,6 +70,7 @@ def copy_tree(src_dir: str, target_dir: str) -> None:
     clean_copy_tree(src, os.path.join(target_dir, 'src'))
     clean_copy_tree(inc, os.path.join(target_dir, 'include'))
     clean_copy_tree(dmlc_core, os.path.join(target_dir, 'dmlc-core'))
+    clean_copy_tree(gputreeshap, os.path.join(target_dir, "gputreeshap"))
     clean_copy_tree(rabit, os.path.join(target_dir, 'rabit'))
     clean_copy_tree(cmake, os.path.join(target_dir, 'cmake'))
     clean_copy_tree(plugin, os.path.join(target_dir, 'plugin'))