diff --git a/docker/Dockerfile.ci_cpu b/docker/Dockerfile.ci_cpu
index f1a928a5a0d6..aa77b0636768 100644
--- a/docker/Dockerfile.ci_cpu
+++ b/docker/Dockerfile.ci_cpu
@@ -33,6 +33,9 @@ RUN bash /install/ubuntu_install_python_package.sh
 COPY install/ubuntu1804_install_llvm.sh /install/ubuntu1804_install_llvm.sh
 RUN bash /install/ubuntu1804_install_llvm.sh
 
+COPY install/ubuntu_install_dnnl.sh /install/ubuntu_install_dnnl.sh
+RUN bash /install/ubuntu_install_dnnl.sh
+
 # Rust env (build early; takes a while)
 COPY install/ubuntu_install_rust.sh /install/ubuntu_install_rust.sh
 RUN bash /install/ubuntu_install_rust.sh
diff --git a/docker/install/ubuntu_install_dnnl.sh b/docker/install/ubuntu_install_dnnl.sh
new file mode 100755
index 000000000000..fb0efd52a2c1
--- /dev/null
+++ b/docker/install/ubuntu_install_dnnl.sh
@@ -0,0 +1,29 @@
+#!/bin/bash
+# Licensed to the Apache Software Foundation (ASF) under one
+# or more contributor license agreements.  See the NOTICE file
+# distributed with this work for additional information
+# regarding copyright ownership.  The ASF licenses this file
+# to you under the Apache License, Version 2.0 (the
+# "License"); you may not use this file except in compliance
+# with the License.  You may obtain a copy of the License at
+# 
+#   http://www.apache.org/licenses/LICENSE-2.0
+# 
+# Unless required by applicable law or agreed to in writing,
+# software distributed under the License is distributed on an
+# "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY
+# KIND, either express or implied.  See the License for the
+# specific language governing permissions and limitations
+# under the License.
+
+set -e
+set -u
+set -o pipefail
+
+cd /usr/local/
+wget -q https://github.com/oneapi-src/oneDNN/releases/download/v1.5/dnnl_lnx_1.5.0_cpu_gomp.tgz
+tar -xzf dnnl_lnx_1.5.0_cpu_gomp.tgz
+mv dnnl_lnx_1.5.0_cpu_gomp/include/* /usr/local/include/
+mv dnnl_lnx_1.5.0_cpu_gomp/lib/libdnnl* /usr/local/lib/
+rm -rf dnnl_lnx_1.5.0_cpu_gomp.tgz dnnl_lnx_1.5.0_cpu_gomp
+cd -