diff --git a/HISTORY.md b/HISTORY.md
index ab872ff4e3..0d4b2b6780 100644
--- a/HISTORY.md
+++ b/HISTORY.md
@@ -18,6 +18,8 @@
 
   * Validate md5 of STB library after download (#2087).
 
+  * Add `__version__` to `__init__.py` (#2092).
+
 ### mlpack 3.2.1
 ###### 2019-10-01
   * Enforce CMake version check for ensmallen (#2032).
diff --git a/src/mlpack/CMakeLists.txt b/src/mlpack/CMakeLists.txt
index fce358817f..e9c2c89c37 100644
--- a/src/mlpack/CMakeLists.txt
+++ b/src/mlpack/CMakeLists.txt
@@ -140,6 +140,10 @@ if (BUILDING_PYTHON_BINDINGS)
       COMMENT "Configuring setup.py...")
   add_dependencies(python_configure python_copy)
   add_dependencies(python_configured python_configure)
+
+  # Append the package version to __init__.py after all the imports are loaded.
+  file(APPEND ${CMAKE_BINARY_DIR}/src/mlpack/bindings/python/mlpack/__init__.py
+  "__version__='${PACKAGE_VERSION}'\n")
 endif ()
 
 # If we are building Markdown documentation, we have to run some setup after we