diff --git a/doc/whats_new/v1.0.rst b/doc/whats_new/v1.0.rst
index 0cd1d6a89d158..6e3c063a45dcb 100644
--- a/doc/whats_new/v1.0.rst
+++ b/doc/whats_new/v1.0.rst
@@ -76,6 +76,11 @@ Changelog
   - For :class:`tree.ExtraTreeRegressor`, `criterion="mse"` is deprecated,
     use `"squared_error"` instead which is now the default.
 
+:mod:`sklearn.base`
+...................
+
+- |Fix| :func:`config_context` is now threadsafe. :pr:`18736` by `Thomas Fan`_.
+
 :mod:`sklearn.calibration`
 ..........................
 
diff --git a/sklearn/_config.py b/sklearn/_config.py
index feb5e86287c38..e81d50849db05 100644
--- a/sklearn/_config.py
+++ b/sklearn/_config.py
@@ -2,6 +2,7 @@
 """
 import os
 from contextlib import contextmanager as contextmanager
+import threading
 
 _global_config = {
     'assume_finite': bool(os.environ.get('SKLEARN_ASSUME_FINITE', False)),
@@ -9,6 +10,15 @@
     'print_changed_only': True,
     'display': 'text',
 }
+_threadlocal = threading.local()
+
+
+def _get_threadlocal_config():
+    """Get a threadlocal **mutable** configuration. If the configuration
+    does not exist, copy the default global configuration."""
+    if not hasattr(_threadlocal, 'global_config'):
+        _threadlocal.global_config = _global_config.copy()
+    return _threadlocal.global_config
 
 
 def get_config():
@@ -24,7 +34,9 @@ def get_config():
     config_context : Context manager for global scikit-learn configuration.
     set_config : Set global scikit-learn configuration.
     """
-    return _global_config.copy()
+    # Return a copy of the threadlocal configuration so that users will
+    # not be able to modify the configuration with the returned dict.
+    return _get_threadlocal_config().copy()
 
 
 def set_config(assume_finite=None, working_memory=None,
@@ -72,14 +84,16 @@ def set_config(assume_finite=None, working_memory=None,
     config_context : Context manager for global scikit-learn configuration.
     get_config : Retrieve current values of the global configuration.
     """
+    local_config = _get_threadlocal_config()
+
     if assume_finite is not None:
-        _global_config['assume_finite'] = assume_finite
+        local_config['assume_finite'] = assume_finite
     if working_memory is not None:
-        _global_config['working_memory'] = working_memory
+        local_config['working_memory'] = working_memory
     if print_changed_only is not None:
-        _global_config['print_changed_only'] = print_changed_only
+        local_config['print_changed_only'] = print_changed_only
     if display is not None:
-        _global_config['display'] = display
+        local_config['display'] = display
 
 
 @contextmanager
@@ -120,8 +134,7 @@ def config_context(**new_config):
     Notes
     -----
     All settings, not just those presently modified, will be returned to
-    their previous values when the context manager is exited. This is not
-    thread-safe.
+    their previous values when the context manager is exited.
 
     Examples
     --------
@@ -141,7 +154,7 @@ def config_context(**new_config):
     set_config : Set global scikit-learn configuration.
     get_config : Retrieve current values of the global configuration.
     """
-    old_config = get_config().copy()
+    old_config = get_config()
     set_config(**new_config)
 
     try:
diff --git a/sklearn/tests/test_config.py b/sklearn/tests/test_config.py
index 22ec862ef24a3..6d458088a37a8 100644
--- a/sklearn/tests/test_config.py
+++ b/sklearn/tests/test_config.py
@@ -1,5 +1,13 @@
+import time
+from concurrent.futures import ThreadPoolExecutor
+
+from joblib import Parallel
+import joblib
 import pytest
+
 from sklearn import get_config, set_config, config_context
+from sklearn.utils.fixes import delayed
+from sklearn.utils.fixes import parse_version
 
 
 def test_config_context():
@@ -76,3 +84,50 @@ def test_set_config():
     # No unknown arguments
     with pytest.raises(TypeError):
         set_config(do_something_else=True)
+
+
+def set_assume_finite(assume_finite, sleep_duration):
+    """Return the value of assume_finite after waiting `sleep_duration`."""
+    with config_context(assume_finite=assume_finite):
+        time.sleep(sleep_duration)
+        return get_config()['assume_finite']
+
+
+@pytest.mark.parametrize("backend",
+                         ["loky", "multiprocessing", "threading"])
+def test_config_threadsafe_joblib(backend):
+    """Test that the global config is threadsafe with all joblib backends.
+    Two jobs are spawned and sets assume_finite to two different values.
+    When the job with a duration 0.1s completes, the assume_finite value
+    should be the same as the value passed to the function. In other words,
+    it is not influenced by the other job setting assume_finite to True.
+    """
+
+    if (parse_version(joblib.__version__) < parse_version('0.12')
+            and backend == 'loky'):
+        pytest.skip('loky backend does not exist in joblib <0.12')  # noqa
+
+    assume_finites = [False, True]
+    sleep_durations = [0.1, 0.2]
+
+    items = Parallel(backend=backend, n_jobs=2)(
+        delayed(set_assume_finite)(assume_finite, sleep_dur)
+        for assume_finite, sleep_dur
+        in zip(assume_finites, sleep_durations))
+
+    assert items == [False, True]
+
+
+def test_config_threadsafe():
+    """Uses threads directly to test that the global config does not change
+    between threads. Same test as `test_config_threadsafe_joblib` but with
+    `ThreadPoolExecutor`."""
+
+    assume_finites = [False, True]
+    sleep_durations = [0.1, 0.2]
+
+    with ThreadPoolExecutor(max_workers=2) as e:
+        items = [output for output in
+                 e.map(set_assume_finite, assume_finites, sleep_durations)]
+
+    assert items == [False, True]