diff --git a/.ci/linux-steps.yaml b/.ci/linux-steps.yaml
index f695c14fe1..9cec6f41ee 100644
--- a/.ci/linux-steps.yaml
+++ b/.ci/linux-steps.yaml
@@ -56,12 +56,12 @@ steps:
   displayName: 'CMake'
 
 # Build mlpack
-- script: cd build && make
+- script: cd build && make && make mlpack_test
   condition: eq(variables['CMakeArgs'], '-DDEBUG=ON -DPROFILE=OFF -DBUILD_PYTHON_BINDINGS=OFF -DBUILD_JULIA_BINDINGS=OFF -DBUILD_GO_BINDINGS=OFF -DBUILD_R_BINDINGS=OFF')
   displayName: 'Build'
 
 # Build mlpack
-- script: cd build && make -j2
+- script: cd build && make -j2 && make -j2 mlpack_test
   condition: ne(variables['CMakeArgs'], '-DDEBUG=ON -DPROFILE=OFF -DBUILD_PYTHON_BINDINGS=OFF -DBUILD_JULIA_BINDINGS=OFF -DBUILD_GO_BINDINGS=OFF -DBUILD_R_BINDINGS=OFF')
   displayName: 'Build'
 
diff --git a/.ci/macos-steps.yaml b/.ci/macos-steps.yaml
index ce3c7796f5..48b15863a9 100644
--- a/.ci/macos-steps.yaml
+++ b/.ci/macos-steps.yaml
@@ -45,7 +45,7 @@ steps:
   displayName: 'CMake'
 
 # Build mlpack
-- script: cd build && make -j2
+- script: cd build && make -j2 && make -j2 mlpack_test
   displayName: 'Build'
 
 # Run tests via ctest.
@@ -65,4 +65,4 @@ steps:
   inputs:
     pathtoPublish: 'build/Testing/'
     artifactName: 'Tests'
-  displayName: 'Publish artifacts test results'
\ No newline at end of file
+  displayName: 'Publish artifacts test results'
diff --git a/.ci/windows-steps.yaml b/.ci/windows-steps.yaml
index e2a9ed38e0..a6793997e6 100644
--- a/.ci/windows-steps.yaml
+++ b/.ci/windows-steps.yaml
@@ -88,6 +88,7 @@ steps:
 # Run tests via ctest.
 - bash: |
     cd build
+    cmake --build . --target mlpack_test -C Release
     CTEST_OUTPUT_ON_FAILURE=1 ctest -T Test -C Release . -j1
   displayName: 'Run tests via ctest'
 
diff --git a/.github/workflows/main.yml b/.github/workflows/main.yml
index 9fa25191a6..a9a2574072 100644
--- a/.github/workflows/main.yml
+++ b/.github/workflows/main.yml
@@ -68,7 +68,7 @@ jobs:
 
         - name: Build
           run: |
-            cd build && make -j2
+            cd build && make -j2 && make -j2 mlpack_test
 
         - name: Run tests via ctest
           run: |