diff --git a/src/common/threadpool.h b/src/common/threadpool.h
index 95d1deaaabc3..21e27aa760a1 100644
--- a/src/common/threadpool.h
+++ b/src/common/threadpool.h
@@ -26,20 +26,25 @@ class ThreadPool {
   bool stop_{false};
 
  public:
-  explicit ThreadPool(std::int32_t n_threads) {
+  /**
+   * @param n_threads The number of threads this pool should hold.
+   * @param init_fn   Function called once during thread creation.
+   */
+  template <typename InitFn>
+  explicit ThreadPool(std::int32_t n_threads, InitFn&& init_fn) {
     for (std::int32_t i = 0; i < n_threads; ++i) {
-      pool_.emplace_back([&] {
+      pool_.emplace_back([&, init_fn = std::forward<InitFn>(init_fn)] {
+        init_fn();
+
         while (true) {
           std::unique_lock lock{mu_};
           cv_.wait(lock, [this] { return !this->tasks_.empty() || stop_; });
 
           if (this->stop_) {
-            if (!tasks_.empty()) {
-              while (!tasks_.empty()) {
-                auto fn = tasks_.front();
-                tasks_.pop();
-                fn();
-              }
+            while (!tasks_.empty()) {
+              auto fn = tasks_.front();
+              tasks_.pop();
+              fn();
             }
             return;
           }
@@ -81,8 +86,13 @@ class ThreadPool {
     // Use shared ptr to make the task copy constructible.
     auto p{std::make_shared<std::promise<R>>()};
     auto fut = p->get_future();
-    auto ffn = std::function{[task = std::move(p), fn = std::move(fn)]() mutable {
-      task->set_value(fn());
+    auto ffn = std::function{[task = std::move(p), fn = std::forward<Fn>(fn)]() mutable {
+      if constexpr (std::is_void_v<R>) {
+        fn();
+        task->set_value();
+      } else {
+        task->set_value(fn());
+      }
     }};
 
     std::unique_lock lock{mu_};
diff --git a/src/data/sparse_page_source.h b/src/data/sparse_page_source.h
index 89aa86ace614..7bc8f77112d0 100644
--- a/src/data/sparse_page_source.h
+++ b/src/data/sparse_page_source.h
@@ -237,7 +237,6 @@ class SparsePageSourceImpl : public BatchIteratorImpl<S>, public FormatStreamPol
 
     exce_.Rethrow();
 
-    auto const config = *GlobalConfigThreadLocalStore::Get();
     for (std::int32_t i = 0; i < n_prefetch_batches; ++i, ++fetch_it) {
       fetch_it %= n_batches_;  // ring
       if (ring_->at(fetch_it).valid()) {
@@ -245,8 +244,7 @@ class SparsePageSourceImpl : public BatchIteratorImpl<S>, public FormatStreamPol
       }
       auto const* self = this;  // make sure it's const
       CHECK_LT(fetch_it, cache_info_->offset.size());
-      ring_->at(fetch_it) = this->workers_.Submit([fetch_it, self, config, this] {
-        *GlobalConfigThreadLocalStore::Get() = config;
+      ring_->at(fetch_it) = this->workers_.Submit([fetch_it, self, this] {
         auto page = std::make_shared<S>();
         this->exce_.Run([&] {
           std::unique_ptr<typename FormatStreamPolicy::FormatT> fmt{this->CreatePageFormat()};
@@ -296,7 +294,10 @@ class SparsePageSourceImpl : public BatchIteratorImpl<S>, public FormatStreamPol
  public:
   SparsePageSourceImpl(float missing, int nthreads, bst_feature_t n_features, bst_idx_t n_batches,
                        std::shared_ptr<Cache> cache)
-      : workers_{std::max(2, std::min(nthreads, 16))},  // Don't use too many threads.
+      : workers_{std::max(2, std::min(nthreads, 16)),
+                 [config = *GlobalConfigThreadLocalStore::Get()] {
+                   *GlobalConfigThreadLocalStore::Get() = config;
+                 }},
         missing_{missing},
         nthreads_{nthreads},
         n_features_{n_features},
diff --git a/tests/cpp/common/test_threadpool.cc b/tests/cpp/common/test_threadpool.cc
index bd54a9dedbe2..ca8a73b55ff6 100644
--- a/tests/cpp/common/test_threadpool.cc
+++ b/tests/cpp/common/test_threadpool.cc
@@ -2,6 +2,7 @@
  * Copyright 2024, XGBoost Contributors
  */
 #include <gtest/gtest.h>
+#include <xgboost/global_config.h>  // for GlobalConfigThreadLocalStore
 
 #include <cstddef>  // for size_t
 #include <cstdint>  // for int32_t
@@ -13,7 +14,23 @@
 namespace xgboost::common {
 TEST(ThreadPool, Basic) {
   std::int32_t n_threads = std::thread::hardware_concurrency();
-  ThreadPool pool{n_threads};
+
+  // Set verbosity to 0 for thread-local variable.
+  auto orig = GlobalConfigThreadLocalStore::Get()->verbosity;
+  GlobalConfigThreadLocalStore::Get()->verbosity = 4;
+  // 4 is an invalid value, it's only possible to set it by bypassing the parameter
+  // validation.
+  ASSERT_NE(orig, GlobalConfigThreadLocalStore::Get()->verbosity);
+  ThreadPool pool{n_threads, [config = *GlobalConfigThreadLocalStore::Get()] {
+                    *GlobalConfigThreadLocalStore::Get() = config;
+                  }};
+  GlobalConfigThreadLocalStore::Get()->verbosity = orig;  // restore
+
+  {
+    auto fut = pool.Submit([] { return GlobalConfigThreadLocalStore::Get()->verbosity; });
+    ASSERT_EQ(fut.get(), 4);
+    ASSERT_EQ(GlobalConfigThreadLocalStore::Get()->verbosity, orig);
+  }
   {
     auto fut = pool.Submit([] { return 3; });
     ASSERT_EQ(fut.get(), 3);
@@ -45,5 +62,12 @@ TEST(ThreadPool, Basic) {
       ASSERT_EQ(futures[i].get(), i);
     }
   }
+  {
+    std::int32_t val{0};
+    auto fut = pool.Submit([&] { val = 3; });
+    static_assert(std::is_void_v<decltype(fut.get())>);
+    fut.get();
+    ASSERT_EQ(val, 3);
+  }
 }
 }  // namespace xgboost::common