diff --git a/sklearn/datasets/_base.py b/sklearn/datasets/_base.py
index dcbfde1c77..b02bb91c75 100644
--- a/sklearn/datasets/_base.py
+++ b/sklearn/datasets/_base.py
@@ -13,6 +13,7 @@ from collections import namedtuple
 from os import environ, listdir, makedirs
 from os.path import dirname, exists, expanduser, isdir, join, splitext
 import hashlib
+import uuid
 
 from ..utils import Bunch
 from ..utils import check_random_state
@@ -1161,6 +1162,9 @@ def _fetch_remote(remote, dirname=None):
     filename and ensure its integrity based on the SHA256 Checksum of the
     downloaded file.
 
+    The download is concurrent safe thanks to the use of a unique temporary
+    file in the same folder with a final atomic rename.
+
     Parameters
     ----------
     remote : RemoteFileMetadata
@@ -1178,11 +1182,18 @@ def _fetch_remote(remote, dirname=None):
 
     file_path = (remote.filename if dirname is None
                  else join(dirname, remote.filename))
-    urlretrieve(remote.url, file_path)
-    checksum = _sha256(file_path)
+
+    # Download to a temporary file to avoid corruption by concurrent
+    # downloads.
+    tmp_path = file_path + f".{uuid.uuid4().hex}.tmp"
+    urlretrieve(remote.url, tmp_path)
+    checksum = _sha256(tmp_path)
     if remote.checksum != checksum:
         raise IOError("{} has an SHA256 checksum ({}) "
                       "differing from expected ({}), "
-                      "file may be corrupted.".format(file_path, checksum,
+                      "file may be corrupted.".format(tmp_path, checksum,
                                                       remote.checksum))
+
+    # Atomic rename of successful download.
+    os.replace(tmp_path, file_path)
     return file_path