diff --git a/CMakeLists.txt b/CMakeLists.txt
index abe52ca4d6a3..88f01b98e9aa 100644
--- a/CMakeLists.txt
+++ b/CMakeLists.txt
@@ -225,7 +225,7 @@ endif()
 
 if(USE_MKLDNN)
   SET(MKLDNN_LIBRARY_TYPE STATIC)
-  include(cmake/MklDnn.cmake)
+  include(cmake/DownloadMKLML.cmake)
   # CPU architecture (e.g., C5) can't run on another architecture (e.g., g3).
   if(NOT MSVC)
     set(ARCH_OPT_FLAGS "-mtune=generic")
diff --git a/ci/docker/install/ubuntu_mklml.sh b/ci/docker/install/ubuntu_mklml.sh
index 7e17295f4208..862e2846403a 100755
--- a/ci/docker/install/ubuntu_mklml.sh
+++ b/ci/docker/install/ubuntu_mklml.sh
@@ -21,5 +21,5 @@
 # the whole docker cache for the image
 
 set -ex
-wget -q --no-check-certificate -O /tmp/mklml.tgz https://github.com/intel/mkl-dnn/releases/download/v0.14/mklml_lnx_2018.0.3.20180406.tgz
+wget -q --no-check-certificate -O /tmp/mklml.tgz https://github.com/intel/mkl-dnn/releases/download/v0.17-rc/mklml_lnx_2019.0.1.20180928.tgz
 tar -zxf /tmp/mklml.tgz && cp -rf mklml_*/* /usr/local/ && rm -rf mklml_*
diff --git a/cmake/DownloadMKLML.cmake b/cmake/DownloadMKLML.cmake
new file mode 100644
index 000000000000..c2c1cd6916f6
--- /dev/null
+++ b/cmake/DownloadMKLML.cmake
@@ -0,0 +1,73 @@
+# Licensed to the Apache Software Foundation (ASF) under one
+# or more contributor license agreements.  See the NOTICE file
+# distributed with this work for additional information
+# regarding copyright ownership.  The ASF licenses this file
+# to you under the Apache License, Version 2.0 (the
+# "License"); you may not use this file except in compliance
+# with the License.  You may obtain a copy of the License at
+#
+#   http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing,
+# software distributed under the License is distributed on an
+# "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY
+# KIND, either express or implied.  See the License for the
+# specific language governing permissions and limitations
+# under the License.
+
+# This script will download MKLML
+
+message(STATUS "Downloading MKLML...")
+
+set(MKLDNN_RELEASE v0.17-rc)
+set(MKLML_RELEASE_FILE_SUFFIX 2019.0.1.20180928)
+
+if(MSVC)
+  set(MKL_NAME "mklml_win_${MKLML_RELEASE_FILE_SUFFIX}")
+
+  file(DOWNLOAD "https://github.com/intel/mkl-dnn/releases/download/${MKLDNN_RELEASE}/${MKL_NAME}.zip"
+       "${CMAKE_CURRENT_BINARY_DIR}/mklml/${MKL_NAME}.zip"
+       EXPECTED_MD5 "443e661bdfd32dbbc99b460b43afceee" SHOW_PROGRESS)
+  file(DOWNLOAD "https://github.com/apache/incubator-mxnet/releases/download/utils/7z.exe"
+       "${CMAKE_CURRENT_BINARY_DIR}/mklml/7z2.exe"
+       EXPECTED_MD5 "E1CF766CF358F368EC97662D06EA5A4C" SHOW_PROGRESS)
+
+  execute_process(COMMAND "${CMAKE_CURRENT_BINARY_DIR}/mklml/7z2.exe" "-o${CMAKE_CURRENT_BINARY_DIR}/mklml/" "-y")
+  execute_process(COMMAND "${CMAKE_CURRENT_BINARY_DIR}/mklml/7z.exe"
+                  "x" "${CMAKE_CURRENT_BINARY_DIR}/mklml/${MKL_NAME}.zip" "-o${CMAKE_CURRENT_BINARY_DIR}/mklml/" "-y")
+
+  set(MKLROOT "${CMAKE_CURRENT_BINARY_DIR}/mklml/${MKL_NAME}")
+
+  message(STATUS "Setting MKLROOT path to ${MKLROOT}")
+
+  include_directories(${MKLROOT}/include)
+
+elseif(APPLE)
+  set(MKL_NAME "mklml_mac_${MKLML_RELEASE_FILE_SUFFIX}")
+
+  file(DOWNLOAD "https://github.com/intel/mkl-dnn/releases/download/${MKLDNN_RELEASE}/${MKL_NAME}.tgz"
+       "${CMAKE_CURRENT_BINARY_DIR}/mklml/${MKL_NAME}.tgz"
+       EXPECTED_MD5 "95f887af332205b1d15b392260003952" SHOW_PROGRESS)
+  execute_process(COMMAND "tar" "-xzf" "${CMAKE_CURRENT_BINARY_DIR}/mklml/${MKL_NAME}.tgz"
+                  "-C" "${CMAKE_CURRENT_BINARY_DIR}/mklml/")
+
+  set(MKLROOT "${CMAKE_CURRENT_BINARY_DIR}/mklml/${MKL_NAME}")
+
+  message(STATUS "Setting MKLROOT path to ${MKLROOT}")
+
+elseif(UNIX)
+  set(MKL_NAME "mklml_lnx_${MKLML_RELEASE_FILE_SUFFIX}")
+
+  file(DOWNLOAD "https://github.com/intel/mkl-dnn/releases/download/${MKLDNN_RELEASE}/${MKL_NAME}.tgz"
+       "${CMAKE_CURRENT_BINARY_DIR}/mklml/${MKL_NAME}.tgz"
+       EXPECTED_MD5 "a63abf155361322b9c03f8fc50f4f317" SHOW_PROGRESS)
+  execute_process(COMMAND "tar" "-xzf" "${CMAKE_CURRENT_BINARY_DIR}/mklml/${MKL_NAME}.tgz"
+                  "-C" "${CMAKE_CURRENT_BINARY_DIR}/mklml/")
+
+  set(MKLROOT "${CMAKE_CURRENT_BINARY_DIR}/mklml/${MKL_NAME}")
+
+  message(STATUS "Setting MKLROOT path to ${MKLROOT}")
+
+else()
+  message(FATAL_ERROR "Wrong platform")
+endif()
diff --git a/cmake/MklDnn.cmake b/cmake/MklDnn.cmake
deleted file mode 100644
index acaf878b2f45..000000000000
--- a/cmake/MklDnn.cmake
+++ /dev/null
@@ -1,44 +0,0 @@
-# Licensed to the Apache Software Foundation (ASF) under one
-# or more contributor license agreements.  See the NOTICE file
-# distributed with this work for additional information
-# regarding copyright ownership.  The ASF licenses this file
-# to you under the Apache License, Version 2.0 (the
-# "License"); you may not use this file except in compliance
-# with the License.  You may obtain a copy of the License at
-#
-#   http://www.apache.org/licenses/LICENSE-2.0
-#
-# Unless required by applicable law or agreed to in writing,
-# software distributed under the License is distributed on an
-# "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY
-# KIND, either express or implied.  See the License for the
-# specific language governing permissions and limitations
-# under the License.
-
-#this file download mklml
-
-message(STATUS "download mklml")
-if(MSVC)
-  set(MKL_NAME "mklml_win_2018.0.3.20180406")
-  file(DOWNLOAD "https://github.com/intel/mkl-dnn/releases/download/v0.14/${MKL_NAME}.zip" "${CMAKE_CURRENT_BINARY_DIR}/mklml/${MKL_NAME}.zip" EXPECTED_MD5 "8DD73E7D3F19F004551809824C4E8970" SHOW_PROGRESS)
-  file(DOWNLOAD "https://github.com/apache/incubator-mxnet/releases/download/utils/7z.exe" "${CMAKE_CURRENT_BINARY_DIR}/mklml/7z2.exe" EXPECTED_MD5 "E1CF766CF358F368EC97662D06EA5A4C" SHOW_PROGRESS)
-  
-  execute_process(COMMAND "${CMAKE_CURRENT_BINARY_DIR}/mklml/7z2.exe" "-o${CMAKE_CURRENT_BINARY_DIR}/mklml/" "-y")
-  execute_process(COMMAND "${CMAKE_CURRENT_BINARY_DIR}/mklml/7z.exe" "x" "${CMAKE_CURRENT_BINARY_DIR}/mklml/${MKL_NAME}.zip" "-o${CMAKE_CURRENT_BINARY_DIR}/mklml/" "-y")
-  set(MKLROOT "${CMAKE_CURRENT_BINARY_DIR}/mklml/${MKL_NAME}")
-  include_directories(${MKLROOT}/include)
-  file(COPY ${MKLROOT}/lib/libiomp5md.dll DESTINATION ${CMAKE_CURRENT_BINARY_DIR})
-  file(COPY ${MKLROOT}/lib/mklml.dll DESTINATION ${CMAKE_CURRENT_BINARY_DIR})
-  file(COPY ${CMAKE_SOURCE_DIR}/3rdparty/mkldnn/config_template.vcxproj.user DESTINATION ${CMAKE_SOURCE_DIR})
-elseif(UNIX)
-  set(MKL_NAME "mklml_lnx_2018.0.3.20180406")
-  file(DOWNLOAD "https://github.com/intel/mkl-dnn/releases/download/v0.14/${MKL_NAME}.tgz" "${CMAKE_CURRENT_BINARY_DIR}/mklml/${MKL_NAME}.tgz" EXPECTED_MD5 "DAF7EFC3C1C0036B447213004467A8AE" SHOW_PROGRESS)
-  execute_process(COMMAND "tar" "-xzf" "${CMAKE_CURRENT_BINARY_DIR}/mklml/${MKL_NAME}.tgz" "-C" "${CMAKE_CURRENT_BINARY_DIR}/mklml/")
-  set(MKLROOT "${CMAKE_CURRENT_BINARY_DIR}/mklml/${MKL_NAME}")
-  include_directories(${MKLROOT}/include)
-  file(COPY ${MKLROOT}/lib/libiomp5.so DESTINATION ${CMAKE_CURRENT_BINARY_DIR})
-  file(COPY ${MKLROOT}/lib/libmklml_gnu.so DESTINATION ${CMAKE_CURRENT_BINARY_DIR})
-  file(COPY ${MKLROOT}/lib/libmklml_intel.so DESTINATION ${CMAKE_CURRENT_BINARY_DIR})
-else()
-  message(FATAL_ERROR "not support now")
-endif()