diff --git a/3rdparty/mkldnn b/3rdparty/mkldnn
index 7de7e5d02bf6..41bee20d7eb4 160000
--- a/3rdparty/mkldnn
+++ b/3rdparty/mkldnn
@@ -1 +1 @@
-Subproject commit 7de7e5d02bf687f971e7668963649728356e0c20
+Subproject commit 41bee20d7eb4a67feeeeb8d597b3598994eb1959
diff --git a/ci/docker/install/ubuntu_mklml.sh b/ci/docker/install/ubuntu_mklml.sh
index e50b6d273b8c..f97ce10e8e85 100755
--- a/ci/docker/install/ubuntu_mklml.sh
+++ b/ci/docker/install/ubuntu_mklml.sh
@@ -21,5 +21,5 @@
 # the whole docker cache for the image
 
 set -ex
-wget -q --no-check-certificate -O /tmp/mklml.tgz https://github.com/intel/mkl-dnn/releases/download/v0.18/mklml_lnx_2019.0.3.20190220.tgz
+wget -q --no-check-certificate -O /tmp/mklml.tgz https://github.com/intel/mkl-dnn/releases/download/v0.19/mklml_lnx_2019.0.5.20190502.tgz
 tar -zxf /tmp/mklml.tgz && cp -rf mklml_*/* /usr/local/ && rm -rf mklml_*
diff --git a/cmake/DownloadMKLML.cmake b/cmake/DownloadMKLML.cmake
index 7b0e5ecf7c9c..73a588fa8afe 100644
--- a/cmake/DownloadMKLML.cmake
+++ b/cmake/DownloadMKLML.cmake
@@ -19,12 +19,12 @@
 
 message(STATUS "Downloading MKLML...")
 
-set(MKLDNN_RELEASE v0.18)
-set(MKLML_RELEASE_FILE_SUFFIX 2019.0.3.20190220)
+set(MKLDNN_RELEASE v0.19)
+set(MKLML_RELEASE_FILE_SUFFIX 2019.0.5.20190502)
 
-set(MKLML_LNX_MD5 76354b74325cd293aba593d7cbe36b3f)
-set(MKLML_WIN_MD5 02286cb980f12af610c05e99dbd78755)
-set(MKLML_MAC_MD5 3b28da686a25a4cf995ca4fc5e30e514)
+set(MKLML_LNX_MD5 dfcea335652dbf3518e1d02cab2cea97)
+set(MKLML_WIN_MD5 ff8c5237570f03eea37377ccfc95a08a)
+set(MKLML_MAC_MD5 0a3d83ec1fed9ea318e8573bb5e14c24)
 
 if(MSVC)
   set(MKL_NAME "mklml_win_${MKLML_RELEASE_FILE_SUFFIX}")
diff --git a/tests/cpp/operator/mkldnn_test.cc b/tests/cpp/operator/mkldnn_test.cc
index 02131d419c24..3e7b62d8b33f 100644
--- a/tests/cpp/operator/mkldnn_test.cc
+++ b/tests/cpp/operator/mkldnn_test.cc
@@ -100,7 +100,7 @@ static void VerifyDefMem(const mkldnn::memory &mem) {
 
 TEST(MKLDNN_UTIL_FUNC, MemFormat) {
   // Check whether the number of format is correct.
-  CHECK_EQ(mkldnn_format_last, 114);
+  CHECK_EQ(mkldnn_format_last, 145);
   CHECK_EQ(mkldnn_nchw, 7);
   CHECK_EQ(mkldnn_oihw, 16);
 }