diff --git a/pyroapi/tests/__init__.py b/pyroapi/tests/__init__.py
index 8cf2462..ba83b00 100644
--- a/pyroapi/tests/__init__.py
+++ b/pyroapi/tests/__init__.py
@@ -1,4 +1,5 @@
 # Copyright Contributors to the Pyro project.
 # SPDX-License-Identifier: Apache-2.0
 
+from .test_mcmc import *  # noqa F401
 from .test_svi import *  # noqa F401
diff --git a/pyroapi/tests/test_mcmc.py b/pyroapi/tests/test_mcmc.py
new file mode 100644
index 0000000..dea4c62
--- /dev/null
+++ b/pyroapi/tests/test_mcmc.py
@@ -0,0 +1,29 @@
+# Copyright Contributors to the Pyro project.
+# SPDX-License-Identifier: Apache-2.0
+
+from pyroapi.dispatch import distributions as dist
+from pyroapi.dispatch import infer, pyro
+
+# Note that the backend arg to these tests must be provided as a
+# user-defined fixture that sets the pyro_backend. For demonstration,
+# see test/conftest.py.
+
+
+def assert_ok(model, *args, **kwargs):
+    """
+    Assert that inference works without warnings or errors.
+    """
+    pyro.get_param_store().clear()
+    kernel = infer.NUTS(model)
+    mcmc = infer.MCMC(kernel, num_samples=2, warmup_steps=2)
+    mcmc.run(*args, **kwargs)
+
+
+def test_mcmc_run_ok(backend):
+    if backend not in ["pyro", "numpy"]:
+        return
+
+    def model():
+        pyro.sample("x", dist.Normal(0, 1))
+
+    assert_ok(model)
diff --git a/test/test_tests.py b/test/test_tests.py
index 779a5ae..d690b68 100644
--- a/test/test_tests.py
+++ b/test/test_tests.py
@@ -28,3 +28,17 @@ def backend(request):
     pytest.importorskip(PACKAGE_NAME[request.param])
     with pyro_backend(request.param):
         yield
+
+
+# TODO(fehiepsi): Remove the following when the test passes in numpyro.
+_test_mcmc_run_ok = test_mcmc_run_ok  # noqa F405
+
+
+@pytest.mark.parametrize("backend", [
+    "pyro",
+    pytest.param("numpy", marks=[
+        pytest.mark.xfail(reason="numpyro signature for MCMC is not consistent.")])])
+def test_mcmc_run_ok(backend):
+    pytest.importorskip(PACKAGE_NAME[backend])
+    with pyro_backend(backend):
+        _test_mcmc_run_ok(backend)