diff --git a/.travis.yml b/.travis.yml
index de23566b4b93..d0f72423b6ea 100644
--- a/.travis.yml
+++ b/.travis.yml
@@ -43,6 +43,7 @@ addons:
       - graphviz
       - openssl
       - libgit2
+      - lz4
       - wget
       - r
     update: true
diff --git a/CMakeLists.txt b/CMakeLists.txt
index c355a6896721..d8190c5fb809 100644
--- a/CMakeLists.txt
+++ b/CMakeLists.txt
@@ -112,6 +112,9 @@ if (USE_OPENMP)
   find_package(OpenMP REQUIRED)
 endif (USE_OPENMP)
 
+# core xgboost
+add_subdirectory(${xgboost_SOURCE_DIR}/src)
+
 # dmlc-core
 msvc_use_static_runtime()
 add_subdirectory(${xgboost_SOURCE_DIR}/dmlc-core)
@@ -119,7 +122,6 @@ set_target_properties(dmlc PROPERTIES
   CXX_STANDARD 14
   CXX_STANDARD_REQUIRED ON
   POSITION_INDEPENDENT_CODE ON)
-list(APPEND LINKED_LIBRARIES_PRIVATE dmlc)
 if (MSVC)
   target_compile_options(dmlc PRIVATE
                          -D_CRT_SECURE_NO_WARNINGS -D_CRT_SECURE_NO_DEPRECATE)
@@ -128,6 +130,7 @@ if (MSVC)
                            -D_CRT_SECURE_NO_WARNINGS -D_CRT_SECURE_NO_DEPRECATE)
   endif (TARGET dmlc_unit_tests)
 endif (MSVC)
+target_link_libraries(objxgboost PUBLIC dmlc)
 
 # rabit
 set(RABIT_BUILD_DMLC OFF)
@@ -136,13 +139,13 @@ set(RABIT_WITH_R_LIB ${R_LIB})
 add_subdirectory(rabit)
 
 if (RABIT_MOCK)
-  list(APPEND LINKED_LIBRARIES_PRIVATE rabit_mock_static)
+  target_link_libraries(objxgboost PUBLIC rabit_mock_static)
   if (MSVC)
     target_compile_options(rabit_mock_static PRIVATE
                            -D_CRT_SECURE_NO_WARNINGS -D_CRT_SECURE_NO_DEPRECATE)
   endif (MSVC)
 else()
-  list(APPEND LINKED_LIBRARIES_PRIVATE rabit)
+  target_link_libraries(objxgboost PUBLIC rabit)
   if (MSVC)
     target_compile_options(rabit PRIVATE
                            -D_CRT_SECURE_NO_WARNINGS -D_CRT_SECURE_NO_DEPRECATE)
@@ -164,19 +167,16 @@ if (R_LIB)
   add_subdirectory(${xgboost_SOURCE_DIR}/R-package)
 endif (R_LIB)
 
-# core xgboost
-list(APPEND LINKED_LIBRARIES_PRIVATE Threads::Threads ${CMAKE_THREAD_LIBS_INIT})
+# Plugin
 add_subdirectory(${xgboost_SOURCE_DIR}/plugin)
-add_subdirectory(${xgboost_SOURCE_DIR}/src)
-target_link_libraries(objxgboost PUBLIC dmlc)
-set(XGBOOST_OBJ_SOURCES "${XGBOOST_OBJ_SOURCES};$<TARGET_OBJECTS:objxgboost>")
 
 #-- library
 if (BUILD_STATIC_LIB)
-  add_library(xgboost STATIC ${XGBOOST_OBJ_SOURCES})
+  add_library(xgboost STATIC)
 else (BUILD_STATIC_LIB)
-  add_library(xgboost SHARED ${XGBOOST_OBJ_SOURCES})
+  add_library(xgboost SHARED)
 endif (BUILD_STATIC_LIB)
+target_link_libraries(xgboost PRIVATE objxgboost)
 
 if (USE_NVTX)
   enable_nvtx(xgboost)
@@ -192,7 +192,6 @@ target_include_directories(xgboost
   INTERFACE
   $<INSTALL_INTERFACE:${CMAKE_INSTALL_PREFIX}/include>
   $<BUILD_INTERFACE:${CMAKE_CURRENT_LIST_DIR}/include>)
-target_link_libraries(xgboost PRIVATE ${LINKED_LIBRARIES_PRIVATE})
 
 # This creates its own shared library `xgboost4j'.
 if (JVM_BINDINGS)
@@ -201,7 +200,8 @@ endif (JVM_BINDINGS)
 #-- End shared library
 
 #-- CLI for xgboost
-add_executable(runxgboost ${xgboost_SOURCE_DIR}/src/cli_main.cc ${XGBOOST_OBJ_SOURCES})
+add_executable(runxgboost ${xgboost_SOURCE_DIR}/src/cli_main.cc)
+target_link_libraries(runxgboost PRIVATE objxgboost)
 if (USE_NVTX)
   enable_nvtx(runxgboost)
 endif (USE_NVTX)
@@ -211,7 +211,6 @@ target_include_directories(runxgboost
   ${xgboost_SOURCE_DIR}/include
   ${xgboost_SOURCE_DIR}/dmlc-core/include
   ${xgboost_SOURCE_DIR}/rabit/include)
-target_link_libraries(runxgboost PRIVATE ${LINKED_LIBRARIES_PRIVATE})
 set_target_properties(
   runxgboost PROPERTIES
   OUTPUT_NAME xgboost
diff --git a/Jenkinsfile b/Jenkinsfile
index 277bb5133590..40db6f9c0fe9 100644
--- a/Jenkinsfile
+++ b/Jenkinsfile
@@ -189,7 +189,7 @@ def BuildCPU() {
       # This step is not necessary, but here we include it, to ensure that DMLC_CORE_USE_CMAKE flag is correctly propagated
       # We want to make sure that we use the configured header build/dmlc/build_config.h instead of include/dmlc/build_config_default.h.
       # See discussion at https://github.com/dmlc/xgboost/issues/5510
-    ${dockerRun} ${container_type} ${docker_binary} tests/ci_build/build_via_cmake.sh
+    ${dockerRun} ${container_type} ${docker_binary} tests/ci_build/build_via_cmake.sh -DPLUGIN_LZ4=ON -DPLUGIN_DENSE_PARSER=ON
     ${dockerRun} ${container_type} ${docker_binary} build/testxgboost
     """
     // Sanitizer test
diff --git a/R-package/CMakeLists.txt b/R-package/CMakeLists.txt
index ee89e7d6fc55..ac60ff02eacf 100644
--- a/R-package/CMakeLists.txt
+++ b/R-package/CMakeLists.txt
@@ -6,8 +6,8 @@ file(GLOB_RECURSE R_SOURCES
   ${CMAKE_CURRENT_LIST_DIR}/src/*.c)
 # Use object library to expose symbols
 add_library(xgboost-r OBJECT ${R_SOURCES})
-
-set(R_DEFINITIONS
+target_compile_definitions(xgboost-r
+  PUBLIC
   -DXGBOOST_STRICT_R_MODE=1
   -DXGBOOST_CUSTOMIZE_GLOBAL_PRNG=1
   -DDMLC_LOG_BEFORE_THROW=0
@@ -15,27 +15,23 @@ set(R_DEFINITIONS
   -DDMLC_LOG_CUSTOMIZE=1
   -DRABIT_CUSTOMIZE_MSG_
   -DRABIT_STRICT_CXX98_)
-target_compile_definitions(xgboost-r
-  PRIVATE ${R_DEFINITIONS})
 target_include_directories(xgboost-r
   PRIVATE
   ${LIBR_INCLUDE_DIRS}
   ${PROJECT_SOURCE_DIR}/include
   ${PROJECT_SOURCE_DIR}/dmlc-core/include
   ${PROJECT_SOURCE_DIR}/rabit/include)
+target_link_libraries(xgboost-r PRIVATE ${LIBR_CORE_LIBRARY})
 set_target_properties(
   xgboost-r PROPERTIES
   CXX_STANDARD 14
   CXX_STANDARD_REQUIRED ON
   POSITION_INDEPENDENT_CODE ON)
 
-set(XGBOOST_DEFINITIONS "${XGBOOST_DEFINITIONS};${R_DEFINITIONS}" PARENT_SCOPE)
-set(XGBOOST_OBJ_SOURCES $<TARGET_OBJECTS:xgboost-r> PARENT_SCOPE)
-set(LINKED_LIBRARIES_PRIVATE ${LINKED_LIBRARIES_PRIVATE} ${LIBR_CORE_LIBRARY} PARENT_SCOPE)
-
-if (USE_OPENMP)
-  target_link_libraries(xgboost-r PRIVATE OpenMP::OpenMP_CXX)
-endif ()
+# Get compilation and link flags of xgboost-r and propagate to objxgboost
+target_link_libraries(objxgboost PUBLIC xgboost-r)
+# Add all objects of xgboost-r to objxgboost
+target_sources(objxgboost INTERFACE $<TARGET_OBJECTS:xgboost-r>)
 
 set(LIBR_HOME "${LIBR_HOME}" PARENT_SCOPE)
-set(LIBR_EXECUTABLE "${LIBR_EXECUTABLE}" PARENT_SCOPE)
\ No newline at end of file
+set(LIBR_EXECUTABLE "${LIBR_EXECUTABLE}" PARENT_SCOPE)
diff --git a/jvm-packages/CMakeLists.txt b/jvm-packages/CMakeLists.txt
index 422bf8de33a5..c549d52ae8ac 100644
--- a/jvm-packages/CMakeLists.txt
+++ b/jvm-packages/CMakeLists.txt
@@ -1,8 +1,8 @@
 find_package(JNI REQUIRED)
 
 add_library(xgboost4j SHARED
-  ${PROJECT_SOURCE_DIR}/jvm-packages/xgboost4j/src/native/xgboost4j.cpp
-  ${XGBOOST_OBJ_SOURCES})
+  ${PROJECT_SOURCE_DIR}/jvm-packages/xgboost4j/src/native/xgboost4j.cpp)
+target_link_libraries(xgboost4j PRIVATE objxgboost)
 target_include_directories(xgboost4j
   PRIVATE
   ${JNI_INCLUDE_DIRS}
@@ -16,7 +16,4 @@ set_target_properties(
   xgboost4j PROPERTIES
   CXX_STANDARD 14
   CXX_STANDARD_REQUIRED ON)
-target_link_libraries(xgboost4j
-  PRIVATE
-  ${LINKED_LIBRARIES_PRIVATE}
-  ${JAVA_JVM_LIBRARY})
+target_link_libraries(xgboost4j PRIVATE ${JAVA_JVM_LIBRARY})
diff --git a/plugin/CMakeLists.txt b/plugin/CMakeLists.txt
index 0c44784adb55..86f784ca0155 100644
--- a/plugin/CMakeLists.txt
+++ b/plugin/CMakeLists.txt
@@ -1,9 +1,8 @@
 if (PLUGIN_LZ4)
-  set(PLUGIN_SOURCES ${PLUGIN_SOURCES}
-    ${xgboost_SOURCE_DIR}/plugin/lz4/sparse_page_lz4_format.cc PARENT_SCOPE)
+  target_sources(objxgboost PRIVATE ${xgboost_SOURCE_DIR}/plugin/lz4/sparse_page_lz4_format.cc)
+  target_link_libraries(objxgboost PUBLIC lz4)
 endif (PLUGIN_LZ4)
 
 if (PLUGIN_DENSE_PARSER)
-  set(PLUGINS_SOURCES ${PLUGINS_SOURCES}
-    ${xgboost_SOURCE_DIR}/plugin/dense_parser/dense_libsvm.cc PARENT_SCOPE)
+  target_sources(objxgboost PRIVATE ${xgboost_SOURCE_DIR}/plugin/dense_parser/dense_libsvm.cc)
 endif (PLUGIN_DENSE_PARSER)
diff --git a/plugin/lz4/sparse_page_lz4_format.cc b/plugin/lz4/sparse_page_lz4_format.cc
index 7e9cce3e9156..238d431c219f 100644
--- a/plugin/lz4/sparse_page_lz4_format.cc
+++ b/plugin/lz4/sparse_page_lz4_format.cc
@@ -156,7 +156,7 @@ inline void CompressArray<DType>::Write(dmlc::Stream* fo) {
 }
 
 template<typename StorageIndex>
-class SparsePageLZ4Format : public SparsePageFormat {
+class SparsePageLZ4Format : public SparsePageFormat<SparsePage> {
  public:
   explicit SparsePageLZ4Format(bool use_lz4_hc)
       : use_lz4_hc_(use_lz4_hc) {
diff --git a/src/CMakeLists.txt b/src/CMakeLists.txt
index a517f4d44f95..21c802bc1a7e 100644
--- a/src/CMakeLists.txt
+++ b/src/CMakeLists.txt
@@ -2,13 +2,13 @@ file(GLOB_RECURSE CPU_SOURCES *.cc *.h)
 list(REMOVE_ITEM CPU_SOURCES ${xgboost_SOURCE_DIR}/src/cli_main.cc)
 
 #-- Object library
-# Object library is necessary for jvm-package, which creates its own shared
-# library.
+# Object library is necessary for jvm-package, which creates its own shared library.
+add_library(objxgboost OBJECT)
+target_sources(objxgboost PRIVATE ${CPU_SOURCES})
 if (USE_CUDA)
   file(GLOB_RECURSE CUDA_SOURCES *.cu *.cuh)
-  add_library(objxgboost OBJECT ${CPU_SOURCES} ${CUDA_SOURCES} ${PLUGINS_SOURCES})
-  target_compile_definitions(objxgboost
-    PRIVATE -DXGBOOST_USE_CUDA=1)
+  target_sources(objxgboost PRIVATE ${CUDA_SOURCES})
+  target_compile_definitions(objxgboost PRIVATE -DXGBOOST_USE_CUDA=1)
   target_include_directories(objxgboost PRIVATE ${xgboost_SOURCE_DIR}/cub/)
   target_compile_options(objxgboost PRIVATE
     $<$<COMPILE_LANGUAGE:CUDA>:--expt-extended-lambda>
@@ -20,7 +20,7 @@ if (USE_CUDA)
     find_package(Nccl REQUIRED)
     target_include_directories(objxgboost PRIVATE ${NCCL_INCLUDE_DIR})
     target_compile_definitions(objxgboost PRIVATE -DXGBOOST_USE_NCCL=1)
-    list(APPEND SRC_LIBS ${NCCL_LIBRARY})
+    target_link_libraries(objxgboost PUBLIC ${NCCL_LIBRARY})
   endif (USE_NCCL)
 
   if (USE_NVTX)
@@ -47,8 +47,6 @@ if (USE_CUDA)
     CUDA_STANDARD 14
     CUDA_STANDARD_REQUIRED ON
     CUDA_SEPARABLE_COMPILATION OFF)
-else (USE_CUDA)
-  add_library(objxgboost OBJECT ${CPU_SOURCES} ${PLUGINS_SOURCES})
 endif (USE_CUDA)
 
 target_include_directories(objxgboost
@@ -79,8 +77,7 @@ set_target_properties(objxgboost PROPERTIES
 target_compile_definitions(objxgboost
   PRIVATE
   -DDMLC_LOG_CUSTOMIZE=1  # enable custom logging
-  $<$<NOT:$<CXX_COMPILER_ID:MSVC>>:_MWAITXINTRIN_H_INCLUDED>
-  ${XGBOOST_DEFINITIONS})
+  $<$<NOT:$<CXX_COMPILER_ID:MSVC>>:_MWAITXINTRIN_H_INCLUDED>)
 if (USE_DEBUG_OUTPUT)
   target_compile_definitions(objxgboost PRIVATE -DXGBOOST_USE_DEBUG_OUTPUT=1)
 endif (USE_DEBUG_OUTPUT)
@@ -97,14 +94,12 @@ if (XGBOOST_BUILTIN_PREFETCH_PRESENT)
 endif (XGBOOST_BUILTIN_PREFETCH_PRESENT)
 
 find_package(Threads REQUIRED)
-list(APPEND SRC_LIBS Threads::Threads ${CMAKE_THREAD_LIBS_INIT})
+target_link_libraries(objxgboost PUBLIC Threads::Threads ${CMAKE_THREAD_LIBS_INIT})
 
 if (USE_OPENMP OR USE_CUDA)  # CUDA requires OpenMP
   find_package(OpenMP REQUIRED)
-  list(APPEND SRC_LIBS OpenMP::OpenMP_CXX)
-  target_link_libraries(objxgboost PRIVATE OpenMP::OpenMP_CXX)
+  target_link_libraries(objxgboost PUBLIC OpenMP::OpenMP_CXX)
 endif (USE_OPENMP OR USE_CUDA)
-set(LINKED_LIBRARIES_PRIVATE "${LINKED_LIBRARIES_PRIVATE};${SRC_LIBS}" PARENT_SCOPE)
 
 # For MSVC: Call msvc_use_static_runtime() once again to completely
 # replace /MD with /MT. See https://github.com/dmlc/xgboost/issues/4462
diff --git a/tests/ci_build/Dockerfile.cpu b/tests/ci_build/Dockerfile.cpu
index ae20e02588d6..1dd8a9da16ba 100644
--- a/tests/ci_build/Dockerfile.cpu
+++ b/tests/ci_build/Dockerfile.cpu
@@ -7,7 +7,7 @@ SHELL ["/bin/bash", "-c"]   # Use Bash as shell
 # Install all basic requirements
 RUN \
     apt-get update && \
-    apt-get install -y tar unzip wget git build-essential doxygen graphviz llvm libasan2 libidn11 && \
+    apt-get install -y tar unzip wget git build-essential doxygen graphviz llvm libasan2 libidn11 liblz4-dev && \
     # CMake
     wget -nv -nc https://cmake.org/files/v3.13/cmake-3.13.0-Linux-x86_64.sh --no-check-certificate && \
     bash cmake-3.13.0-Linux-x86_64.sh --skip-license --prefix=/usr && \
diff --git a/tests/cpp/CMakeLists.txt b/tests/cpp/CMakeLists.txt
index 6808a507921b..75948e5251f7 100644
--- a/tests/cpp/CMakeLists.txt
+++ b/tests/cpp/CMakeLists.txt
@@ -12,8 +12,9 @@ if (USE_CUDA)
   file(GLOB_RECURSE CUDA_TEST_SOURCES "*.cu")
   list(APPEND TEST_SOURCES ${CUDA_TEST_SOURCES})
 endif (USE_CUDA)
-add_executable(testxgboost ${TEST_SOURCES} ${XGBOOST_OBJ_SOURCES}
+add_executable(testxgboost ${TEST_SOURCES}
   ${xgboost_SOURCE_DIR}/plugin/example/custom_obj.cc)
+target_link_libraries(testxgboost PRIVATE objxgboost)
 
 if (USE_CUDA)
   # OpenMP is mandatory for CUDA
@@ -73,10 +74,8 @@ set_target_properties(
   CXX_STANDARD_REQUIRED ON)
 target_link_libraries(testxgboost
   PRIVATE
-  ${GTEST_LIBRARIES}
-  ${LINKED_LIBRARIES_PRIVATE})
+  ${GTEST_LIBRARIES})
 
-target_compile_definitions(testxgboost PRIVATE ${XGBOOST_DEFINITIONS})
 set_output_directory(testxgboost ${xgboost_BINARY_DIR})
 
 # This grouping organises source files nicely in visual studio