diff --git a/build_tools/travis/install.sh b/build_tools/travis/install.sh
index d79f8845a3d89..f36b6bb3d1b0f 100755
--- a/build_tools/travis/install.sh
+++ b/build_tools/travis/install.sh
@@ -25,6 +25,22 @@ then
 	# export CCACHE_LOGFILE=/tmp/ccache.log
 	# ~60M is used by .ccache when compiling from scratch at the time of writing
 	ccache --max-size 100M --show-stats
+elif [ $TRAVIS_OS_NAME = "osx" ]
+then
+    # install OpenMP not present by default on osx
+    brew install libomp
+
+    # enable OpenMP support for Apple-clang
+    export CC=/usr/bin/clang
+    export CXX=/usr/bin/clang++
+    export CPPFLAGS="$CPPFLAGS -Xpreprocessor -fopenmp"
+    export CFLAGS="$CFLAGS -I/usr/local/opt/libomp/include"
+    export CXXFLAGS="$CXXFLAGS -I/usr/local/opt/libomp/include"
+    export LDFLAGS="$LDFLAGS -L/usr/local/opt/libomp/lib -lomp"
+    export DYLD_LIBRARY_PATH=/usr/local/opt/libomp/lib
+
+    # avoid error due to multiple OpenMP libraries loaded simultaneously
+    export KMP_DUPLICATE_LIB_OK=TRUE
 fi
 
 make_conda() {
diff --git a/doc/developers/advanced_installation.rst b/doc/developers/advanced_installation.rst
index 8f6f8496c3606..129f89250aff8 100644
--- a/doc/developers/advanced_installation.rst
+++ b/doc/developers/advanced_installation.rst
@@ -46,7 +46,8 @@ Scikit-learn requires:
 
 Building Scikit-learn also requires
 
-- Cython >=0.28.5 
+- Cython >=0.28.5
+- OpenMP
 
 Running tests requires
 
@@ -102,6 +103,31 @@ On Unix-like systems, you can simply type ``make`` in the top-level folder to
 build in-place and launch all the tests. Have a look at the ``Makefile`` for
 additional utilities.
 
+Mac OSX
+-------
+
+The default C compiler, Apple-clang, on Mac OSX does not directly support
+OpenMP. The first solution to build scikit-learn is to install another C
+compiler such as gcc or llvm-clang. Another solution is to enable OpenMP
+support on the default Apple-clang. In the following we present how to
+configure this second option.
+
+You first need to install the OpenMP library::
+
+    brew install libomp
+
+Then you need to set the following environment variables::
+
+    export CC=clang
+    export CXX=clang++
+    export CPPFLAGS="$CPPFLAGS -Xpreprocessor -fopenmp"
+    export CFLAGS="$CFLAGS -I/usr/local/opt/libomp/include"
+    export CXXFLAGS="$CXXFLAGS -I/usr/local/opt/libomp/include"
+    export LDFLAGS="$LDFLAGS -L/usr/local/opt/libomp/lib -lomp"
+    export DYLD_LIBRARY_PATH=/usr/local/opt/libomp/lib
+
+Finally you can build the package using the standard command.
+
 Installing build dependencies
 =============================
 
@@ -111,7 +137,7 @@ Linux
 Installing from source requires you to have installed the scikit-learn runtime
 dependencies, Python development headers and a working C/C++ compiler.
 Under Debian-based operating systems, which include Ubuntu::
-    
+
     sudo apt-get install build-essential python3-dev python3-setuptools \
                      python3-numpy python3-scipy \
                      libatlas-dev libatlas3-base
diff --git a/setup.py b/setup.py
index cce21f5883c5a..7fee206e2c66b 100755
--- a/setup.py
+++ b/setup.py
@@ -102,7 +102,57 @@ def run(self):
                     shutil.rmtree(os.path.join(dirpath, dirname))
 
 
-cmdclass = {'clean': CleanCommand}
+def get_openmp_flag(compiler):
+    if sys.platform == "win32" and ('icc' in compiler or 'icl' in compiler):
+        return ['/Qopenmp']
+    elif sys.platform == "win32":
+        return ['/openmp']
+    elif sys.platform == "darwin" and ('icc' in compiler or 'icl' in compiler):
+        return ['-openmp']
+    elif sys.platform == "darwin" and 'openmp' in os.getenv('CPPFLAGS', ''):
+        # -fopenmp can't be passed as compile flag when using Apple-clang.
+        # OpenMP support has to be enabled during preprocessing.
+        #
+        # For example, our macOS wheel build jobs use the following environment
+        # variables to build with Apple-clang and the brew installed "libomp":
+        #
+        # export CPPFLAGS="$CPPFLAGS -Xpreprocessor -fopenmp"
+        # export CFLAGS="$CFLAGS -I/usr/local/opt/libomp/include"
+        # export LDFLAGS="$LDFLAGS -L/usr/local/opt/libomp/lib -lomp"
+        # export DYLD_LIBRARY_PATH=/usr/local/opt/libomp/lib
+        return ['']
+    # Default flag for GCC and clang:
+    return ['-fopenmp']
+
+
+OPENMP_EXTENSIONS = []
+
+
+# custom build_ext command to set OpenMP compile flags depending on os and
+# compiler
+# build_ext has to be imported after setuptools
+from numpy.distutils.command.build_ext import build_ext  # noqa
+
+
+class build_ext_subclass(build_ext):
+    def build_extensions(self):
+        if hasattr(self.compiler, 'compiler'):
+            compiler = self.compiler.compiler[0]
+        else:
+            compiler = self.compiler.__class__.__name__
+
+        openmp_flag = get_openmp_flag(compiler)
+
+        for e in self.extensions:
+            if e.name in OPENMP_EXTENSIONS:
+                e.extra_compile_args += openmp_flag
+                e.extra_link_args += openmp_flag
+
+        build_ext.build_extensions(self)
+
+
+cmdclass = {'clean': CleanCommand, 'build_ext': build_ext_subclass}
+
 
 # Optional wheelhouse-uploader features
 # To automate release of binary packages for scikit-learn we need a tool