diff --git a/CMakeLists.txt b/CMakeLists.txt
index b179baca..79e59cec 100644
--- a/CMakeLists.txt
+++ b/CMakeLists.txt
@@ -68,14 +68,13 @@ endif()
 
 foreach(lib ${TREELITE_TARGETS})
   set_output_directory(${lib} ${PROJECT_BINARY_DIR})
-  target_link_libraries(${lib} INTERFACE dmlc)
 endforeach()
 
 # Export install targets
 include(GNUInstallDirs)
 include(CMakePackageConfigHelpers)
 set(INSTALL_TARGETS ${TREELITE_TARGETS}
-                    objtreelite objtreelite_common objtreelite_runtime dmlc rapidjson)
+                    objtreelite objtreelite_common objtreelite_runtime rapidjson)
 if(NOT FMTLIB_FROM_SYSTEM_ROOT)
   list(APPEND INSTALL_TARGETS fmt-header-only)
 endif()
diff --git a/cmake/ExternalLibs.cmake b/cmake/ExternalLibs.cmake
index c331462b..9612759c 100644
--- a/cmake/ExternalLibs.cmake
+++ b/cmake/ExternalLibs.cmake
@@ -1,19 +1,6 @@
 include(FetchContent)
 include(cmake/FetchContentMakeAvailable.cmake)
 
-FetchContent_Declare(
-  dmlccore
-  GIT_REPOSITORY  https://github.com/dmlc/dmlc-core
-  GIT_TAG         v0.5
-)
-FetchContent_MakeAvailable(dmlccore)
-target_compile_options(dmlc PRIVATE
-                       -D_CRT_SECURE_NO_WARNINGS -D_CRT_SECURE_NO_DEPRECATE)
-if (TARGET dmlc_unit_tests)
-  target_compile_options(dmlc_unit_tests PRIVATE
-                         -D_CRT_SECURE_NO_WARNINGS -D_CRT_SECURE_NO_DEPRECATE)
-endif (TARGET dmlc_unit_tests)
-
 # fmtlib
 find_package(fmt)
 if(fmt_FOUND)
diff --git a/include/treelite/predictor.h b/include/treelite/predictor.h
index 4fde1091..38f9a552 100644
--- a/include/treelite/predictor.h
+++ b/include/treelite/predictor.h
@@ -7,7 +7,6 @@
 #ifndef TREELITE_PREDICTOR_H_
 #define TREELITE_PREDICTOR_H_
 
-#include <dmlc/common.h>
 #include <treelite/logging.h>
 #include <treelite/typeinfo.h>
 #include <treelite/c_api_runtime.h>
@@ -20,6 +19,45 @@
 namespace treelite {
 namespace predictor {
 
+/*!
+ * \brief OMP Exception class catches, saves and rethrows exception from OMP blocks
+ */
+class OMPException {
+ private:
+  // exception_ptr member to store the exception
+  std::exception_ptr omp_exception_;
+  // mutex to be acquired during catch to set the exception_ptr
+  std::mutex mutex_;
+
+ public:
+  /*!
+   * \brief Parallel OMP blocks should be placed within Run to save exception
+   */
+  template <typename Function, typename... Parameters>
+  void Run(Function f, Parameters... params) {
+    try {
+      f(params...);
+    } catch (treelite::Error &ex) {
+      std::lock_guard<std::mutex> lock(mutex_);
+      if (!omp_exception_) {
+        omp_exception_ = std::current_exception();
+      }
+    } catch (std::exception &ex) {
+      std::lock_guard<std::mutex> lock(mutex_);
+      if (!omp_exception_) {
+        omp_exception_ = std::current_exception();
+      }
+    }
+  }
+
+  /*!
+   * \brief should be called from the main thread to rethrow the exception
+   */
+  void Rethrow() {
+    if (this->omp_exception_) std::rethrow_exception(this->omp_exception_);
+  }
+};
+
 /*! \brief data layout. The value -1 signifies the missing value.
     When the "missing" field is set to -1, the "fvalue" field is set to
     NaN (Not a Number), so there is no danger for mistaking between
@@ -207,7 +245,7 @@ class Predictor {
   TypeInfo threshold_type_;
   TypeInfo leaf_output_type_;
 
-  mutable dmlc::OMPException exception_catcher_;
+  mutable OMPException exception_catcher_;
 };
 
 }  // namespace predictor
diff --git a/runtime/java/CMakeLists.txt b/runtime/java/CMakeLists.txt
index f656ba19..41c7a722 100644
--- a/runtime/java/CMakeLists.txt
+++ b/runtime/java/CMakeLists.txt
@@ -2,8 +2,7 @@ find_package(JNI REQUIRED)
 
 add_library(treelite4j SHARED treelite4j/src/native/treelite4j.cpp)
 target_link_libraries(treelite4j
-  PRIVATE   objtreelite_runtime objtreelite_common
-  PUBLIC    ${JAVA_JVM_LIBRARY} dmlc)
+  PRIVATE   objtreelite_runtime objtreelite_common)
 target_include_directories(treelite4j PUBLIC ${JNI_INCLUDE_DIRS})
 set_target_properties(treelite4j
   PROPERTIES
diff --git a/runtime/java/treelite4j/src/native/treelite4j.cpp b/runtime/java/treelite4j/src/native/treelite4j.cpp
index dcb192fd..bc0d5c25 100644
--- a/runtime/java/treelite4j/src/native/treelite4j.cpp
+++ b/runtime/java/treelite4j/src/native/treelite4j.cpp
@@ -3,9 +3,6 @@
 #include <treelite/c_api_error.h>
 #include <treelite/predictor.h>
 #include <treelite/typeinfo.h>
-#include <dmlc/endian.h>
-#include <dmlc/logging.h>
-#include <dmlc/memory_io.h>
 #include <algorithm>
 #include <limits>
 #include <vector>
diff --git a/src/CMakeLists.txt b/src/CMakeLists.txt
index b0857613..cee954ff 100644
--- a/src/CMakeLists.txt
+++ b/src/CMakeLists.txt
@@ -33,7 +33,6 @@ foreach(lib objtreelite objtreelite_runtime objtreelite_common)
     $<BUILD_INTERFACE:${PROJECT_SOURCE_DIR}/include>
     $<BUILD_INTERFACE:${PROJECT_BINARY_DIR}/include>
     $<INSTALL_INTERFACE:$<INSTALL_PREFIX>/include>)
-  target_link_libraries(${lib} PUBLIC dmlc)
   if(MSVC)
     target_compile_options(${lib} PRIVATE /MP)
     target_compile_definitions(${lib} PRIVATE -DNOMINMAX)
diff --git a/src/annotator.cc b/src/annotator.cc
index ae4f8d9d..668f7a69 100644
--- a/src/annotator.cc
+++ b/src/annotator.cc
@@ -13,7 +13,6 @@
 #include <rapidjson/ostreamwrapper.h>
 #include <rapidjson/writer.h>
 #include <rapidjson/document.h>
-#include <dmlc/io.h>
 #include <limits>
 #include <cstdint>
 
diff --git a/src/c_api/c_api.cc b/src/c_api/c_api.cc
index 9fa7df89..795f1107 100644
--- a/src/c_api/c_api.cc
+++ b/src/c_api/c_api.cc
@@ -17,7 +17,6 @@
 #include <treelite/math.h>
 #include <treelite/gtil.h>
 #include <treelite/logging.h>
-#include <dmlc/io.h>
 #include <memory>
 #include <algorithm>
 #include <fstream>
diff --git a/src/compiler/ast/build.cc b/src/compiler/ast/build.cc
index 62eac7a0..e4bc6cd2 100644
--- a/src/compiler/ast/build.cc
+++ b/src/compiler/ast/build.cc
@@ -1,16 +1,13 @@
 /*!
- * Copyright (c) 2017-2020 by Contributors
+ * Copyright (c) 2017-2021 by Contributors
  * \file build.cc
  * \brief Build AST from a given model
  */
-#include <dmlc/registry.h>
 #include "./builder.h"
 
 namespace treelite {
 namespace compiler {
 
-DMLC_REGISTRY_FILE_TAG(build);
-
 template <typename ThresholdType, typename LeafOutputType>
 void
 ASTBuilder<ThresholdType, LeafOutputType>::BuildAST(
diff --git a/src/compiler/ast/dump.cc b/src/compiler/ast/dump.cc
index 3cb521cd..c2f7c317 100644
--- a/src/compiler/ast/dump.cc
+++ b/src/compiler/ast/dump.cc
@@ -1,9 +1,8 @@
 /*!
- * Copyright (c) 2019-2020 by Contributors
+ * Copyright (c) 2019-2021 by Contributors
  * \file dump.cc
  * \brief Generate text representation of AST
  */
-#include <dmlc/registry.h>
 #include <treelite/logging.h>
 #include "./builder.h"
 
@@ -24,8 +23,6 @@ void get_dump_from_node(std::ostringstream* oss,
 namespace treelite {
 namespace compiler {
 
-DMLC_REGISTRY_FILE_TAG(dump);
-
 template <typename ThresholdType, typename LeafOutputType>
 std::string
 ASTBuilder<ThresholdType, LeafOutputType>::GetDump() const {
diff --git a/src/compiler/ast/fold_code.cc b/src/compiler/ast/fold_code.cc
index f896d85a..71a89e9c 100644
--- a/src/compiler/ast/fold_code.cc
+++ b/src/compiler/ast/fold_code.cc
@@ -1,10 +1,9 @@
 /*!
- * Copyright (c) 2017-2020 by Contributors
+ * Copyright (c) 2017-2021 by Contributors
  * \file fold_code.h
  * \brief AST manipulation logic for code folding
  * \author Hyunsu Cho
  */
-#include <dmlc/registry.h>
 #include <treelite/logging.h>
 #include <limits>
 #include <cmath>
@@ -13,8 +12,6 @@
 namespace treelite {
 namespace compiler {
 
-DMLC_REGISTRY_FILE_TAG(fold_code);
-
 struct CodeFoldingContext {
   double magnitude_req;
   double log_root_data_count;
diff --git a/src/compiler/ast/is_categorical_array.cc b/src/compiler/ast/is_categorical_array.cc
index 38df8488..50c6e29d 100644
--- a/src/compiler/ast/is_categorical_array.cc
+++ b/src/compiler/ast/is_categorical_array.cc
@@ -1,17 +1,14 @@
 /*!
- * Copyright (c) 2017-2020 by Contributors
+ * Copyright (c) 2017-2021 by Contributors
  * \file is_categorical_array.cc
  * \brief AST manipulation logic to determine whether each feature is categorical or not
  * \author Hyunsu Cho
  */
-#include <dmlc/registry.h>
 #include "./builder.h"
 
 namespace treelite {
 namespace compiler {
 
-DMLC_REGISTRY_FILE_TAG(is_categorical_array);
-
 static void
 scan_thresholds(ASTNode* node, std::vector<bool>* is_categorical) {
   CategoricalConditionNode* cat_cond
diff --git a/src/compiler/ast/load_data_counts.cc b/src/compiler/ast/load_data_counts.cc
index 61c79195..d45b78f5 100644
--- a/src/compiler/ast/load_data_counts.cc
+++ b/src/compiler/ast/load_data_counts.cc
@@ -4,15 +4,12 @@
  * \brief AST manipulation logic to load data counts
  * \author Hyunsu Cho
  */
-#include <dmlc/registry.h>
 #include <cstdint>
 #include "./builder.h"
 
 namespace treelite {
 namespace compiler {
 
-DMLC_REGISTRY_FILE_TAG(load_data_counts);
-
 static void load_data_counts(ASTNode* node, const std::vector<std::vector<uint64_t>>& counts) {
   if (node->tree_id >= 0 && node->node_id >= 0) {
     node->data_count = counts[node->tree_id][node->node_id];
diff --git a/src/compiler/ast/quantize.cc b/src/compiler/ast/quantize.cc
index b29c3f79..f39a7d9c 100644
--- a/src/compiler/ast/quantize.cc
+++ b/src/compiler/ast/quantize.cc
@@ -1,10 +1,9 @@
 /*!
- * Copyright (c) 2017-2020 by Contributors
+ * Copyright (c) 2017-2021 by Contributors
  * \file quantize.cc
  * \brief Quantize thresholds in condition nodes
  */
 #include <treelite/math.h>
-#include <dmlc/registry.h>
 #include <treelite/logging.h>
 #include <set>
 #include <cmath>
@@ -13,8 +12,6 @@
 namespace treelite {
 namespace compiler {
 
-DMLC_REGISTRY_FILE_TAG(quantize);
-
 template <typename ThresholdType>
 static void
 scan_thresholds(ASTNode* node, std::vector<std::set<ThresholdType>>* cut_pts) {
diff --git a/src/compiler/ast/split.cc b/src/compiler/ast/split.cc
index f0203d24..a7358417 100644
--- a/src/compiler/ast/split.cc
+++ b/src/compiler/ast/split.cc
@@ -1,17 +1,14 @@
 /*!
- * Copyright (c) 2017-2020 by Contributors
+ * Copyright (c) 2017-2021 by Contributors
  * \file split.cc
  * \brief Split prediction subroutine into multiple translation units (files)
  */
-#include <dmlc/registry.h>
 #include <treelite/logging.h>
 #include "./builder.h"
 
 namespace treelite {
 namespace compiler {
 
-DMLC_REGISTRY_FILE_TAG(split);
-
 int count_tu_nodes(ASTNode* node) {
   int accum = (dynamic_cast<TranslationUnitNode*>(node)) ? 1 : 0;
   for (ASTNode* child : node->children) {
diff --git a/src/compiler/ast_native.cc b/src/compiler/ast_native.cc
index b26c37e9..a35d32e4 100644
--- a/src/compiler/ast_native.cc
+++ b/src/compiler/ast_native.cc
@@ -7,7 +7,6 @@
 #include <treelite/compiler.h>
 #include <treelite/compiler_param.h>
 #include <treelite/annotator.h>
-#include <dmlc/io.h>
 #include <fmt/format.h>
 #include <rapidjson/stringbuffer.h>
 #include <rapidjson/writer.h>
diff --git a/src/compiler/compiler.cc b/src/compiler/compiler.cc
index 74d5541d..03d8abb6 100644
--- a/src/compiler/compiler.cc
+++ b/src/compiler/compiler.cc
@@ -12,6 +12,7 @@
 #include "./failsafe.h"
 
 namespace treelite {
+
 Compiler* Compiler::Create(const std::string& name, const char* param_json_str) {
   compiler::CompilerParam param = compiler::CompilerParam::ParseFromJSON(param_json_str);
   if (name == "ast_native") {
diff --git a/src/compiler/elf/elf_formatter.cc b/src/compiler/elf/elf_formatter.cc
index d6739d6c..fe457c10 100644
--- a/src/compiler/elf/elf_formatter.cc
+++ b/src/compiler/elf/elf_formatter.cc
@@ -1,11 +1,10 @@
 /*!
- * Copyright (c) 2019-2020 by Contributors
+ * Copyright (c) 2019-2021 by Contributors
  * \file elf_formatter.cc
  * \author Hyunsu Cho
  * \brief Generate a relocatable object file containing a constant, read-only array
  */
 #include <treelite/logging.h>
-#include <dmlc/registry.h>
 #include <fstream>
 #include <iterator>
 #include <stdexcept>
@@ -41,8 +40,6 @@ void AppendToBuffer(std::vector<char>* dest, const void* src, size_t count) {
 namespace treelite {
 namespace compiler {
 
-DMLC_REGISTRY_FILE_TAG(elf_formatter);
-
 void AllocateELFHeader(std::vector<char>* elf_buffer) {
   elf_buffer->resize(elf_buffer->size() + sizeof(Elf64_Ehdr));
 }
diff --git a/src/data.cc b/src/data.cc
index 2f265982..e2346fea 100644
--- a/src/data.cc
+++ b/src/data.cc
@@ -5,7 +5,6 @@
  * \brief Input data structure of Treelite
  */
 
-#include <dmlc/logging.h>
 #include <treelite/logging.h>
 #include <treelite/data.h>
 #include <memory>
diff --git a/src/frontend/builder.cc b/src/frontend/builder.cc
index 58ec9fbd..f94095fc 100644
--- a/src/frontend/builder.cc
+++ b/src/frontend/builder.cc
@@ -1,11 +1,10 @@
 /*!
- * Copyright (c) 2017-2020 by Contributors
+ * Copyright (c) 2017-2021 by Contributors
  * \file builder.cc
  * \brief model builder frontend
  * \author Hyunsu Cho
  */
 
-#include <dmlc/registry.h>
 #include <treelite/frontend.h>
 #include <treelite/tree.h>
 #include <treelite/logging.h>
@@ -66,8 +65,6 @@ struct TreeDraft {
 namespace treelite {
 namespace frontend {
 
-DMLC_REGISTRY_FILE_TAG(builder);
-
 struct TreeBuilderImpl {
   TreeDraft tree;
   inline TreeBuilderImpl(TypeInfo threshold_type, TypeInfo leaf_output_type)
diff --git a/src/frontend/lightgbm.cc b/src/frontend/lightgbm.cc
index 76c2533d..3af3a0e7 100644
--- a/src/frontend/lightgbm.cc
+++ b/src/frontend/lightgbm.cc
@@ -5,7 +5,6 @@
  * \author Hyunsu Cho
  */
 
-#include <dmlc/data.h>
 #include <treelite/logging.h>
 #include <treelite/frontend.h>
 #include <treelite/tree.h>
diff --git a/src/frontend/xgboost_json.cc b/src/frontend/xgboost_json.cc
index b7b1524a..cec943a0 100644
--- a/src/frontend/xgboost_json.cc
+++ b/src/frontend/xgboost_json.cc
@@ -8,7 +8,6 @@
 
 #include "xgboost/xgboost_json.h"
 
-#include <dmlc/registry.h>
 #include <fmt/format.h>
 #include <rapidjson/error/en.h>
 #include <rapidjson/document.h>
@@ -40,8 +39,6 @@ std::unique_ptr<treelite::Model> ParseStream(std::unique_ptr<StreamType> input_s
 namespace treelite {
 namespace frontend {
 
-DMLC_REGISTRY_FILE_TAG(xgboost_json);
-
 std::unique_ptr<treelite::Model> LoadXGBoostJSONModel(const char* filename) {
   char read_buffer[65536];
 
diff --git a/src/json_serializer.cc b/src/json_serializer.cc
index 05bc9911..f93739ba 100644
--- a/src/json_serializer.cc
+++ b/src/json_serializer.cc
@@ -7,7 +7,7 @@
  */
 
 #include <treelite/tree.h>
-#include <dmlc/logging.h>
+#include <treelite/logging.h>
 #include <rapidjson/ostreamwrapper.h>
 #include <rapidjson/writer.h>
 #include <ostream>
diff --git a/tests/cpp/test_compiler_param.cc b/tests/cpp/test_compiler_param.cc
index 76426e9a..74972965 100644
--- a/tests/cpp/test_compiler_param.cc
+++ b/tests/cpp/test_compiler_param.cc
@@ -8,7 +8,6 @@
 #include <gmock/gmock.h>
 #include <treelite/compiler_param.h>
 #include <treelite/logging.h>
-#include <dmlc/logging.h>
 #include <fmt/format.h>
 
 using namespace testing;