diff --git a/python-package/xgboost/compat.py b/python-package/xgboost/compat.py
index 281db3bcb3ed..f2eadfc9918c 100644
--- a/python-package/xgboost/compat.py
+++ b/python-package/xgboost/compat.py
@@ -63,13 +63,13 @@ def os_fspath(path):
         path_type = type(path)
         try:
             path_repr = path_type.__fspath__(path)
-        except AttributeError:
+        except AttributeError as e:
             if hasattr(path_type, '__fspath__'):
                 raise
             if issubclass(path_type, PurePath):
                 return _PurePath__fspath__(path)
             raise TypeError("expected str, bytes or os.PathLike object, "
-                            "not " + path_type.__name__)
+                            "not " + path_type.__name__) from e
         if isinstance(path_repr, (str, bytes)):
             return path_repr
         raise TypeError("expected {}.__fspath__() to return str or bytes, "
diff --git a/python-package/xgboost/core.py b/python-package/xgboost/core.py
index f25886c3c36f..e74d1e2417b0 100644
--- a/python-package/xgboost/core.py
+++ b/python-package/xgboost/core.py
@@ -263,9 +263,9 @@ def _convert_unknown_data(data, meta=None, meta_type=None):
     if meta is not None:
         try:
             data = np.array(data, dtype=meta_type)
-        except Exception:
+        except Exception as e:
             raise TypeError('Can not handle data from {}'.format(
-                type(data).__name__))
+                type(data).__name__)) from e
     else:
         import warnings
         warnings.warn(
@@ -273,9 +273,9 @@ def _convert_unknown_data(data, meta=None, meta_type=None):
             ', coverting it to csr_matrix')
         try:
             data = scipy.sparse.csr_matrix(data)
-        except Exception:
+        except Exception as e:
             raise TypeError('Can not initialize DMatrix from'
-                            ' {}'.format(type(data).__name__))
+                            ' {}'.format(type(data).__name__)) from e
     return data
 
 
diff --git a/python-package/xgboost/plotting.py b/python-package/xgboost/plotting.py
index 794e5954361d..7fe187180a34 100644
--- a/python-package/xgboost/plotting.py
+++ b/python-package/xgboost/plotting.py
@@ -56,8 +56,8 @@ def plot_importance(booster, ax=None, height=0.2,
     """
     try:
         import matplotlib.pyplot as plt
-    except ImportError:
-        raise ImportError('You must install matplotlib to plot importance')
+    except ImportError as e:
+        raise ImportError('You must install matplotlib to plot importance') from e
 
     if isinstance(booster, XGBModel):
         importance = booster.get_booster().get_score(
@@ -168,8 +168,8 @@ def to_graphviz(booster, fmap='', num_trees=0, rankdir=None,
     """
     try:
         from graphviz import Source
-    except ImportError:
-        raise ImportError('You must install graphviz to plot tree')
+    except ImportError as e:
+        raise ImportError('You must install graphviz to plot tree') from e
     if isinstance(booster, XGBModel):
         booster = booster.get_booster()
 
@@ -237,8 +237,8 @@ def plot_tree(booster, fmap='', num_trees=0, rankdir=None, ax=None, **kwargs):
     try:
         from matplotlib import pyplot as plt
         from matplotlib import image
-    except ImportError:
-        raise ImportError('You must install matplotlib to plot tree')
+    except ImportError as e:
+        raise ImportError('You must install matplotlib to plot tree') from e
 
     if ax is None:
         _, ax = plt.subplots(1, 1)