diff --git a/CMakeLists.txt b/CMakeLists.txt
index 92f93e7bb15e..f861686afb49 100644
--- a/CMakeLists.txt
+++ b/CMakeLists.txt
@@ -282,24 +282,26 @@ if(USE_MKLDNN)
     set(CMAKE_CXX_FLAGS_RELEASE "${CMAKE_CXX_FLAGS_RELEASE} /EHsc /Gy /MT")
   endif()
 
-  set(MKLDNN_BUILD_TESTS OFF CACHE INTERNAL "" FORCE)
-  set(MKLDNN_BUILD_EXAMPLES OFF CACHE INTERNAL "" FORCE)
-  set(MKLDNN_ARCH_OPT_FLAGS "" CACHE INTERNAL "" FORCE)
-  set(MKLDNN_ENABLE_JIT_PROFILING OFF CACHE INTERNAL "" FORCE)
-  set(MKLDNN_LIBRARY_TYPE STATIC CACHE INTERNAL "" FORCE)
-  set(DNNL_ENABLE_CONCURRENT_EXEC ON CACHE INTERNAL "" FORCE)
-
-  if(NOT USE_OPENMP)
+  function(load_mkldnn)
+    set(MKLDNN_BUILD_TESTS OFF CACHE INTERNAL "" FORCE)
+    set(MKLDNN_BUILD_EXAMPLES OFF CACHE INTERNAL "" FORCE)
+    set(MKLDNN_ARCH_OPT_FLAGS "" CACHE INTERNAL "" FORCE)
+    set(MKLDNN_ENABLE_JIT_PROFILING OFF CACHE INTERNAL "" FORCE)
+    set(MKLDNN_LIBRARY_TYPE STATIC CACHE INTERNAL "" FORCE)
+    set(DNNL_ENABLE_CONCURRENT_EXEC ON CACHE INTERNAL "" FORCE)
+
+    if(NOT USE_OPENMP)
       set(MKLDNN_CPU_RUNTIME SEQ CACHE INTERNAL "" FORCE)
-  endif()
-
-  add_subdirectory(3rdparty/mkldnn)
+    endif()
 
+    set(CMAKE_INSTALL_INCLUDEDIR "${CMAKE_INSTALL_INCLUDEDIR}/mkldnn")
+    add_subdirectory(3rdparty/mkldnn)
+  endfunction()
+  load_mkldnn()
   include_directories(3rdparty/mkldnn/include)
   include_directories(${PROJECT_BINARY_DIR}/3rdparty/mkldnn/include)
   add_definitions(-DMXNET_USE_MKLDNN=1)
   list(APPEND mxnet_LINKER_LIBS dnnl)
-  set(INSTALL_MKLDNN ON)
 endif()
 
 if(USE_CPP_PACKAGE)
@@ -856,22 +858,17 @@ if(MSVC AND USE_MXNET_LIB_NAMING)
 endif()
 
 
+# NOTE: Public headers will be installed into ${CMAKE_INSTALL_PREFIX}/${CMAKE_INSTALL_INCLUDEDIR}, see
+#       https://cmake.org/cmake/help/v3.13/variable/CMAKE_INSTALL_PREFIX.html
+#       https://cmake.org/cmake/help/v3.13/module/GNUInstallDirs.html
 include(GNUInstallDirs)
 install(TARGETS ${MXNET_INSTALL_TARGETS}
   RUNTIME DESTINATION ${CMAKE_INSTALL_BINDIR}
   LIBRARY DESTINATION ${CMAKE_INSTALL_LIBDIR}
   ARCHIVE DESTINATION ${CMAKE_INSTALL_LIBDIR}
 )
-
-# NOTE: Public headers will be installed into ${CMAKE_INSTALL_PREFIX}/${CMAKE_INSTALL_INCLUDEDIR}, see
-#       https://cmake.org/cmake/help/v3.0/variable/CMAKE_INSTALL_PREFIX.html
-#       https://cmake.org/cmake/help/v3.0/module/GNUInstallDirs.html
-
 install(DIRECTORY ${CMAKE_CURRENT_SOURCE_DIR}/3rdparty/dlpack/include/ DESTINATION ${CMAKE_INSTALL_INCLUDEDIR})
 install(DIRECTORY ${CMAKE_CURRENT_SOURCE_DIR}/3rdparty/dmlc-core/include/ DESTINATION ${CMAKE_INSTALL_INCLUDEDIR})
-if(USE_MKLDNN)
-  install(DIRECTORY ${CMAKE_CURRENT_SOURCE_DIR}/3rdparty/mkldnn/include/ DESTINATION ${CMAKE_INSTALL_INCLUDEDIR})
-endif()
 install(DIRECTORY ${CMAKE_CURRENT_SOURCE_DIR}/3rdparty/mshadow/mshadow/ DESTINATION ${CMAKE_INSTALL_INCLUDEDIR}/mshadow)
 install(DIRECTORY ${CMAKE_CURRENT_SOURCE_DIR}/include/mxnet/ DESTINATION ${CMAKE_INSTALL_INCLUDEDIR}/mxnet)
 install(DIRECTORY ${CMAKE_CURRENT_SOURCE_DIR}/3rdparty/tvm/nnvm/include/ DESTINATION ${CMAKE_INSTALL_INCLUDEDIR})
diff --git a/cd/python/pypi/pypi_package.sh b/cd/python/pypi/pypi_package.sh
index fafd88e9742b..1e8103bdfca7 100755
--- a/cd/python/pypi/pypi_package.sh
+++ b/cd/python/pypi/pypi_package.sh
@@ -28,9 +28,9 @@ export mxnet_variant=${1:?"Please specify the mxnet variant"}
 # and CD unpacks it to a directory called cd_misc
 # Nov. 2019 Update: With v1.1, MKL-DNN is renaming to DNNL. Hence changing the prefix of file name.
 if [ -f "cd_misc/dnnl_version.h" ]; then
-  mkdir -p 3rdparty/mkldnn/build/install/include
-  cp cd_misc/dnnl_version.h 3rdparty/mkldnn/build/install/include/.
-  cp cd_misc/dnnl_config.h 3rdparty/mkldnn/build/install/include/.
+  mkdir -p 3rdparty/mkldnn/include
+  cp cd_misc/dnnl_version.h 3rdparty/mkldnn/include/.
+  cp cd_misc/dnnl_config.h 3rdparty/mkldnn/include/.
 fi
 
 # Create wheel workspace
diff --git a/tools/pip/setup.py b/tools/pip/setup.py
index d01051713f2f..afc7a4f9db3f 100644
--- a/tools/pip/setup.py
+++ b/tools/pip/setup.py
@@ -156,10 +156,9 @@ def skip_markdown_comments(md):
 
 package_data = {'mxnet': [os.path.join('mxnet', os.path.basename(LIB_PATH[0]))],
                 'dmlc_tracker': []}
-if variant.endswith('MKL'):
-    if platform.system() == 'Darwin':
-        shutil.copytree(os.path.join(CURRENT_DIR, 'mxnet-build/3rdparty/mkldnn/build/install/include'),
-                        os.path.join(CURRENT_DIR, 'mxnet/include/mkldnn'))
+if variant != 'NATIVE':
+    shutil.copytree(os.path.join(CURRENT_DIR, 'mxnet-build/3rdparty/mkldnn/include'),
+                    os.path.join(CURRENT_DIR, 'mxnet/include/mkldnn'))
 if platform.system() == 'Linux':
     libdir, mxdir = os.path.dirname(LIB_PATH[0]), os.path.join(CURRENT_DIR, 'mxnet')
     if os.path.exists(os.path.join(libdir, 'libgfortran.so.3')):