diff --git a/.github/workflows/cpython-nightly.yml b/.github/workflows/cpython-nightly.yml
new file mode 100644
index 0000000000000..137157bc7e4a3
--- /dev/null
+++ b/.github/workflows/cpython-nightly.yml
@@ -0,0 +1,86 @@
+name: CPython Nightly
+
+on:
+  schedule:
+    # Nightly build at 1:00 A.M.
+    - cron: "0 1 * * *"
+  pull_request:
+  # Manual run
+  workflow_dispatch:
+
+jobs:
+  get_latest_commit:
+    name: Check build trigger
+    runs-on: ubuntu-latest
+    if: "github.repository == 'scikit-learn/scikit-learn'"
+    outputs:
+      commit_msg: ${{ steps.get_commit.outputs.commit_msg }}
+
+    steps:
+      - name: Checkout scikit-learn
+        uses: actions/checkout@v2
+        with:
+          ref: ${{ github.event.pull_request.head.sha }}
+
+      - id: get_commit
+        name: Get commit
+        run: |
+          echo "::set-output name=commit_msg::$(git log --no-merges -1 --oneline)"
+
+  nightly-cpython:
+    name: Nightly CPython-${{ matrix.python-version }}
+    needs: get_latest_commit
+    if: "contains(needs.get_latest_commit.outputs.commit_msg, '[python-dev]') || github.event_name == 'schedule' || github.event_name == 'workflow_run'"
+    runs-on: ubuntu-20.04
+    strategy:
+      matrix:
+        include:
+          - python-version: '3.10.0-alpha - 3.10.x'
+            install-numpy: 'wheel'
+            install-scipy: 'git'
+    env:
+      INSTALL_NUMPY: ${{ matrix.install-numpy }}
+      INSTALL_SCIPY: ${{ matrix.install-scipy }}
+      OMP_NUM_THREADS: '2'
+      OPENBLAS_NUM_THREADS: '2'
+    steps:
+      - uses: actions/checkout@v2
+      - uses: actions/setup-python@v2
+        with:
+          python-version: ${{ matrix.python-version }}
+      - name: Install build dependencies
+        run: |
+          sudo apt-get install libatlas-base-dev liblapack-dev gfortran libgmp-dev libmpfr-dev libsuitesparse-dev libmpc-dev
+          pip install --upgrade pip setuptools
+      - name: Setup cache
+        uses: hendrikmuhs/ccache-action@v1
+        with:
+          max-size: 1000M
+      - name: Install python dependencies
+        run: |
+          pip install pytest pytest-xdist cython wheel
+      - name: Install numpy
+        run: |
+          export PATH="/usr/lib/ccache:/usr/local/opt/ccache/libexec:$PATH"
+          if [[ $INSTALL_NUMPY == "wheel" ]]; then
+            pip install -i https://pypi.anaconda.org/scipy-wheels-nightly/simple numpy
+          else
+            git clone --recursive https://github.com/numpy/numpy.git ~/numpy
+            cd ~/numpy && pip install -e .
+          fi
+      - name: Install scipy
+        run: |
+          export PATH="/usr/lib/ccache:/usr/local/opt/ccache/libexec:$PATH"
+          if [[ $INSTALL_SCIPY == "wheel" ]]; then
+            pip install -i https://pypi.anaconda.org/scipy-wheels-nightly/simple scipy
+          else
+            git clone --recursive https://github.com/scipy/scipy.git ~/scipy
+            cd ~/scipy && pip install -e .
+          fi
+      - name: Install scikit-learn
+        run: |
+          export PATH="/usr/lib/ccache:/usr/local/opt/ccache/libexec:$PATH"
+          pip install -v --no-build-isolation -e .
+      - name: Test scikit-learn
+        run: |
+          cd /tmp && python -m pytest -n 2 --pyargs sklearn