diff --git a/setup.py b/setup.py
index 20213eb6205cd..b50792f447d7d 100644
--- a/setup.py
+++ b/setup.py
@@ -735,6 +735,7 @@ def print_box(msg):
                 'cuda/*.pyi',
                 'optim/*.pyi',
                 'autograd/*.pyi',
+                'utils/data/*.pyi',
                 'lib/*.so*',
                 'lib/*.dylib*',
                 'lib/*.dll',
diff --git a/torch/utils/data/__init__.pyi b/torch/utils/data/__init__.pyi
new file mode 100644
index 0000000000000..f4ca405fa2edf
--- /dev/null
+++ b/torch/utils/data/__init__.pyi
@@ -0,0 +1,6 @@
+from .sampler import Sampler as Sampler, SequentialSampler as SequentialSampler, RandomSampler as RandomSampler, \
+    SubsetRandomSampler as SubsetRandomSampler, WeightedRandomSampler as WeightedRandomSampler, BatchSampler as BatchSampler
+from .distributed import DistributedSampler as DistributedSampler
+from .dataset import Dataset as Dataset, TensorDataset as TensorDataset, ConcatDataset as ConcatDataset, \
+    Subset as Subset, random_split as random_split
+from .dataloader import DataLoader as DataLoader
diff --git a/torch/utils/data/dataloader.pyi b/torch/utils/data/dataloader.pyi
new file mode 100644
index 0000000000000..6932933b3d987
--- /dev/null
+++ b/torch/utils/data/dataloader.pyi
@@ -0,0 +1,39 @@
+from typing import Any, Callable, TypeVar, Generic, overload, Sequence, List
+from . import Dataset, Sampler
+
+T_co = TypeVar('T_co', covariant=True)
+T = TypeVar('T')
+_worker_init_fn_t = Callable[[int], None]
+
+# Ideally we would parameterize `DataLoader` by the return type of `collate_fn`, but there is currently no way to have that
+# type parameter set to a default value if the user doesn't pass in a custom 'collate_fn'.
+# See https://github.com/python/mypy/issues/3737.
+_collate_fn_t = Callable[[List[T]], Any]
+
+class DataLoader(Generic[T_co]):
+    dataset: Dataset[T_co]
+    batch_size: int
+    num_workers: int
+    pin_memory: bool
+    drop_last: bool
+    timeout: float
+
+    @overload
+    def __init__(self, dataset: Dataset[T_co], batch_size: int=..., shuffle: bool=..., sampler: Sampler[int]=...,
+                 num_workers: int=..., collate_fn: _collate_fn_t=..., pin_memory: bool=...,
+                 drop_last: bool=..., timeout: float=..., worker_init_fn: _worker_init_fn_t=...) -> None: ...
+    @overload
+    def __init__(self, dataset: Dataset[T_co], batch_sampler: Sampler[Sequence[int]]=..., num_workers: int=...,
+                 collate_fn: _collate_fn_t=..., pin_memory: bool=..., timeout: float=...,
+                 worker_init_fn: _worker_init_fn_t=...) -> None: ...
+
+    def __len__(self) -> int: ...
+    # We quote '_DataLoaderIter' since it isn't defined yet and the definition can't be moved up since
+    # '_DataLoaderIter' references 'DataLoader'. Pending updates of PEP 484 will fix this.
+    def __iter__(self) -> '_DataLoaderIter':...
+
+class _DataLoaderIter:
+    def __init__(self, loader: DataLoader) -> None:...
+    def __len__(self) -> int: ...
+    def __iter__(self) -> _DataLoaderIter: ...
+    def __next__(self) -> Any: ...
diff --git a/torch/utils/data/dataset.pyi b/torch/utils/data/dataset.pyi
new file mode 100644
index 0000000000000..ac85c474eec2c
--- /dev/null
+++ b/torch/utils/data/dataset.pyi
@@ -0,0 +1,28 @@
+from typing import TypeVar, Generic, Iterable, Sequence, List, Tuple
+from ... import Tensor
+
+T_co = TypeVar('T_co', covariant=True)
+T = TypeVar('T')
+class Dataset(Generic[T_co]):
+    def __getitem__(self, index: int) -> T_co: ...
+    def __len__(self) -> int: ...
+    def __add__(self, other: T_co) -> 'ConcatDataset[T_co]': ...
+
+class TensorDataset(Dataset[Tuple[Tensor, ...]]):
+    tensors: List[Tensor]
+
+    def __init__(self, *tensors: Tensor) -> None: ...
+
+class ConcatDataset(Dataset[T_co]):
+    datasets: List[Dataset[T_co]]
+    cumulative_sizes: List[int]
+
+    def __init__(self, datasets: Iterable[Dataset]) -> None: ...
+
+class Subset(Dataset[T_co]):
+    dataset: Dataset[T_co]
+    indices: Sequence[int]
+
+    def __init__(self, dataset: Dataset[T_co], indices: Sequence[int]) -> None: ...
+
+def random_split(dataset: Dataset[T], lengths: Sequence[int]) -> List[Subset[T]]: ...
diff --git a/torch/utils/data/distributed.pyi b/torch/utils/data/distributed.pyi
new file mode 100644
index 0000000000000..a9c787ace8737
--- /dev/null
+++ b/torch/utils/data/distributed.pyi
@@ -0,0 +1,9 @@
+from typing import TypeVar, Optional, Iterable
+from . import Sampler, Dataset
+
+T_co = TypeVar('T_co', covariant=True)
+class DistributedSampler(Sampler[T_co]):
+    def __init__(self, dataset: Dataset, num_replicas: Optional[int]=..., rank: Optional[int]=...): ...
+    def __iter__(self) -> Iterable[int]: ...
+    def __len__(self) -> int: ...
+    def set_epoch(self, epoch: int) -> None: ...
diff --git a/torch/utils/data/sampler.pyi b/torch/utils/data/sampler.pyi
new file mode 100644
index 0000000000000..da69876048d41
--- /dev/null
+++ b/torch/utils/data/sampler.pyi
@@ -0,0 +1,24 @@
+from typing import Iterator, Optional, Sequence, List, TypeVar, Generic, Sized
+
+T_co = TypeVar('T_co', covariant=True)
+class Sampler(Generic[T_co]):
+    def __init__(self, data_source: Sized) -> None: ...
+    def __iter__(self) -> Iterator[T_co]: ...
+    def __len__(self) -> int: ...
+
+class SequentialSampler(Sampler[int]):
+    pass
+
+class RandomSampler(Sampler[int]):
+    num_samples: int
+
+    def __init__(self, data_source: Sized, replacement: bool=..., num_samples: Optional[int]=...) -> None: ...
+
+class SubsetRandomSampler(Sampler[int]):
+    def __init__(self, indices: Sequence[int]) -> None: ...
+
+class WeightedRandomSampler(Sampler[int]):
+    def __init__(self, weights: Sequence[float], num_samples: int, replacement: bool=...) -> None: ...
+
+class BatchSampler(Sampler[List[int]]):
+    def __init__(self, sampler: Sampler[int], batch_size: int, drop_last: bool) -> None: ...