diff --git a/build_tools/travis/test_script.sh b/build_tools/travis/test_script.sh
index cdcfbe01b3b8b..f7d3ab2a32e0e 100755
--- a/build_tools/travis/test_script.sh
+++ b/build_tools/travis/test_script.sh
@@ -43,10 +43,13 @@ run_tests() {
     fi
     $TEST_CMD sklearn
 
-    # Test doc (only with nose until we switch completely to pytest)
-    if [[ "$USE_PYTEST" != "true" ]]; then
-        # Going back to git checkout folder needed for make test-doc
-        cd $OLDPWD
+    # Going back to git checkout folder needed to test documentation
+    cd $OLDPWD
+
+    if [[ "$USE_PYTEST" == "true" ]]; then
+        pytest $(find doc -name '*.rst' | sort)
+    else
+        # Makefile is using nose
         make test-doc
     fi
 }
diff --git a/conftest.py b/conftest.py
new file mode 100644
index 0000000000000..e69de29bb2d1d
diff --git a/doc/datasets/conftest.py b/doc/datasets/conftest.py
new file mode 100644
index 0000000000000..0ccc0bced9ee7
--- /dev/null
+++ b/doc/datasets/conftest.py
@@ -0,0 +1,75 @@
+from os.path import exists
+from os.path import join
+
+import numpy as np
+
+from sklearn.utils.testing import SkipTest
+from sklearn.utils.testing import check_skip_network
+from sklearn.datasets import get_data_home
+from sklearn.utils.testing import install_mldata_mock
+from sklearn.utils.testing import uninstall_mldata_mock
+
+
+def setup_labeled_faces():
+    data_home = get_data_home()
+    if not exists(join(data_home, 'lfw_home')):
+        raise SkipTest("Skipping dataset loading doctests")
+
+
+def setup_mldata():
+    # setup mock urllib2 module to avoid downloading from mldata.org
+    install_mldata_mock({
+        'mnist-original': {
+            'data': np.empty((70000, 784)),
+            'label': np.repeat(np.arange(10, dtype='d'), 7000),
+        },
+        'iris': {
+            'data': np.empty((150, 4)),
+        },
+        'datasets-uci-iris': {
+            'double0': np.empty((150, 4)),
+            'class': np.empty((150,)),
+        },
+    })
+
+
+def teardown_mldata():
+    uninstall_mldata_mock()
+
+
+def setup_rcv1():
+    check_skip_network()
+    # skip the test in rcv1.rst if the dataset is not already loaded
+    rcv1_dir = join(get_data_home(), "RCV1")
+    if not exists(rcv1_dir):
+        raise SkipTest("Download RCV1 dataset to run this test.")
+
+
+def setup_twenty_newsgroups():
+    data_home = get_data_home()
+    if not exists(join(data_home, '20news_home')):
+        raise SkipTest("Skipping dataset loading doctests")
+
+
+def setup_working_with_text_data():
+    check_skip_network()
+
+
+def pytest_runtest_setup(item):
+    fname = item.fspath.strpath
+    if fname.endswith('datasets/labeled_faces.rst'):
+        setup_labeled_faces()
+    elif fname.endswith('datasets/mldata.rst'):
+        setup_mldata()
+    elif fname.endswith('datasets/rcv1.rst'):
+        setup_rcv1()
+    elif fname.endswith('datasets/twenty_newsgroups.rst'):
+        setup_twenty_newsgroups()
+    elif fname.endswith('datasets/working_with_text_data.rst'):
+        setup_working_with_text_data()
+
+
+def pytest_runtest_teardown(item):
+    fname = item.fspath.strpath
+    if fname.endswith('datasets/mldata.rst'):
+        teardown_mldata()
diff --git a/doc/datasets/mldata.rst b/doc/datasets/mldata.rst
index 5083317cffc53..b94dfd7620a24 100644
--- a/doc/datasets/mldata.rst
+++ b/doc/datasets/mldata.rst
@@ -3,6 +3,11 @@
 
     >>> import numpy as np
     >>> import os
+    >>> import tempfile
+    >>> # Create a temporary folder for the data fetcher
+    >>> custom_data_home = tempfile.mkdtemp()
+    >>> os.makedirs(os.path.join(custom_data_home, 'mldata'))
+
 
 .. _mldata:
 
@@ -70,3 +75,8 @@ defaults to individual datasets:
     ...                      data_home=custom_data_home)
     >>> iris3 = fetch_mldata('datasets-UCI iris', target_name='class',
     ...                      data_name='double0', data_home=custom_data_home)
+
+
+..
+    >>> import shutil
+    >>> shutil.rmtree(custom_data_home)
diff --git a/doc/datasets/mldata_fixture.py b/doc/datasets/mldata_fixture.py
index 37d9f9af05dc3..0ee5cccaa0f5e 100644
--- a/doc/datasets/mldata_fixture.py
+++ b/doc/datasets/mldata_fixture.py
@@ -3,26 +3,12 @@
 Mock urllib2 access to mldata.org and create a temporary data folder.
 """
 
-from os import makedirs
-from os.path import join
 import numpy as np
-import tempfile
-import shutil
 
-from sklearn import datasets
 from sklearn.utils.testing import install_mldata_mock
 from sklearn.utils.testing import uninstall_mldata_mock
 
 
-def globs(globs):
-    # Create a temporary folder for the data fetcher
-    global custom_data_home
-    custom_data_home = tempfile.mkdtemp()
-    makedirs(join(custom_data_home, 'mldata'))
-    globs['custom_data_home'] = custom_data_home
-    return globs
-
-
 def setup_module():
     # setup mock urllib2 module to avoid downloading from mldata.org
     install_mldata_mock({
@@ -42,4 +28,3 @@ def setup_module():
 
 def teardown_module():
     uninstall_mldata_mock()
-    shutil.rmtree(custom_data_home)