diff --git a/python/mxnet/gluon/data/dataloader.py b/python/mxnet/gluon/data/dataloader.py
index 1c54158a2ba4..50e2ad9f784d 100644
--- a/python/mxnet/gluon/data/dataloader.py
+++ b/python/mxnet/gluon/data/dataloader.py
@@ -175,7 +175,12 @@ def _recursive_fork_recordio(obj, depth, max_depth=1000):
 def worker_loop(dataset, key_queue, data_queue, batchify_fn):
     """Worker loop for multiprocessing DataLoader."""
     # re-fork a new recordio handler in new process if applicable
-    _recursive_fork_recordio(dataset, 0, 1000)
+    # for a dataset with transform function, the depth of MXRecordIO is 1
+    # for a lazy transformer, the depth is 2
+    # for a user defined transformer, the depth is unknown, try a reasonable depth
+    limit = sys.getrecursionlimit()
+    max_recursion_depth = min(limit - 5, max(10, limit // 2))
+    _recursive_fork_recordio(dataset, 0, max_recursion_depth)
 
     while True:
         idx, samples = key_queue.get()
diff --git a/python/mxnet/recordio.py b/python/mxnet/recordio.py
index 2ebe657accbd..6fc4d8e7bf57 100644
--- a/python/mxnet/recordio.py
+++ b/python/mxnet/recordio.py
@@ -83,6 +83,32 @@ def open(self):
     def __del__(self):
         self.close()
 
+    def __getstate__(self):
+        """Override pickling behavior."""
+        # pickling pointer is not allowed
+        is_open = self.is_open
+        self.close()
+        d = dict(self.__dict__)
+        d['is_open'] = is_open
+        uri = self.uri.value
+        try:
+            uri = uri.decode('utf-8')
+        except AttributeError:
+            pass
+        del d['handle']
+        d['uri'] = uri
+        return d
+
+    def __setstate__(self, d):
+        """Restore from pickled."""
+        self.__dict__ = d
+        is_open = d['is_open']
+        self.is_open = False
+        self.handle = RecordIOHandle()
+        self.uri = c_str(self.uri)
+        if is_open:
+            self.open()
+
     def close(self):
         """Closes the record file."""
         if not self.is_open:
@@ -217,6 +243,12 @@ def close(self):
         super(MXIndexedRecordIO, self).close()
         self.fidx.close()
 
+    def __getstate__(self):
+        """Override pickling behavior."""
+        d = super(MXIndexedRecordIO, self).__getstate__()
+        d['fidx'] = None
+        return d
+
     def seek(self, idx):
         """Sets the current read pointer position.
 
diff --git a/tests/python/unittest/test_gluon_data.py b/tests/python/unittest/test_gluon_data.py
index cc80aacb6447..c731f8d782d1 100644
--- a/tests/python/unittest/test_gluon_data.py
+++ b/tests/python/unittest/test_gluon_data.py
@@ -73,26 +73,39 @@ def test_recordimage_dataset():
         assert x.shape[0] == 1 and x.shape[3] == 3
         assert y.asscalar() == i
 
+def _dataset_transform_fn(x, y):
+    """Named transform function since lambda function cannot be pickled."""
+    return x, y
+
 @with_seed()
 def test_recordimage_dataset_with_data_loader_multiworker():
-    # This test is pointless on Windows because Windows doesn't fork
-    if platform.system() != 'Windows':
-        recfile = prepare_record()
-        dataset = gluon.data.vision.ImageRecordDataset(recfile)
-        loader = gluon.data.DataLoader(dataset, 1, num_workers=5)
-
-        for i, (x, y) in enumerate(loader):
-            assert x.shape[0] == 1 and x.shape[3] == 3
-            assert y.asscalar() == i
-
-        # with transform
-        fn = lambda x, y : (x, y)
-        dataset = gluon.data.vision.ImageRecordDataset(recfile).transform(fn)
-        loader = gluon.data.DataLoader(dataset, 1, num_workers=5)
-
-        for i, (x, y) in enumerate(loader):
-            assert x.shape[0] == 1 and x.shape[3] == 3
-            assert y.asscalar() == i
+    recfile = prepare_record()
+    dataset = gluon.data.vision.ImageRecordDataset(recfile)
+    loader = gluon.data.DataLoader(dataset, 1, num_workers=5)
+
+    for i, (x, y) in enumerate(loader):
+        assert x.shape[0] == 1 and x.shape[3] == 3
+        assert y.asscalar() == i
+
+    # with transform
+    dataset = gluon.data.vision.ImageRecordDataset(recfile).transform(_dataset_transform_fn)
+    loader = gluon.data.DataLoader(dataset, 1, num_workers=5)
+
+    for i, (x, y) in enumerate(loader):
+        assert x.shape[0] == 1 and x.shape[3] == 3
+        assert y.asscalar() == i
+
+    # try limit recursion depth
+    import sys
+    old_limit = sys.getrecursionlimit()
+    sys.setrecursionlimit(500)  # this should be smaller than any default value used in python
+    dataset = gluon.data.vision.ImageRecordDataset(recfile).transform(_dataset_transform_fn)
+    loader = gluon.data.DataLoader(dataset, 1, num_workers=5)
+
+    for i, (x, y) in enumerate(loader):
+        assert x.shape[0] == 1 and x.shape[3] == 3
+        assert y.asscalar() == i
+    sys.setrecursionlimit(old_limit)
 
 @with_seed()
 def test_sampler():