diff --git a/src/mlpack/methods/xgboost/CMakeLists.txt b/src/mlpack/methods/xgboost/CMakeLists.txt
new file mode 100644
index 0000000000..63339c806e
--- /dev/null
+++ b/src/mlpack/methods/xgboost/CMakeLists.txt
@@ -0,0 +1,13 @@
+# Define the files we need to compile.
+# Anything not in this list will not be compiled into mlpack.
+set(SOURCES
+)
+
+# Add directory name to sources.
+set(DIR_SRCS)
+foreach(file ${SOURCES})
+  set(DIR_SRCS ${DIR_SRCS} ${CMAKE_CURRENT_SOURCE_DIR}/${file})
+endforeach()
+# Append sources (with directory name) to list of all mlpack sources (used at
+# the parent scope).
+set(MLPACK_SRCS ${MLPACK_SRCS} ${DIR_SRCS} PARENT_SCOPE)
diff --git a/src/mlpack/methods/xgboost/loss_functions/CMakeLists.txt b/src/mlpack/methods/xgboost/loss_functions/CMakeLists.txt
new file mode 100644
index 0000000000..30ffd3867e
--- /dev/null
+++ b/src/mlpack/methods/xgboost/loss_functions/CMakeLists.txt
@@ -0,0 +1,14 @@
+# Define the files we need to compile.
+# Anything not in this list will not be compiled into mlpack.
+set(SOURCES
+  sse_loss.hpp
+)
+
+# Add directory name to sources.
+set(DIR_SRCS)
+foreach(file ${SOURCES})
+  set(DIR_SRCS ${DIR_SRCS} ${CMAKE_CURRENT_SOURCE_DIR}/${file})
+endforeach()
+# Append sources (with directory name) to list of all mlpack sources (used at
+# the parent scope).
+set(MLPACK_SRCS ${MLPACK_SRCS} ${DIR_SRCS} PARENT_SCOPE)