diff --git a/R-package/src/xgboost_R.cc b/R-package/src/xgboost_R.cc
index 805e63a32e87..a76536adee1b 100644
--- a/R-package/src/xgboost_R.cc
+++ b/R-package/src/xgboost_R.cc
@@ -120,11 +120,25 @@ XGB_DLL SEXP XGDMatrixCreateFromMat_R(SEXP mat, SEXP missing, SEXP n_threads) {
   ctx.nthread = asInteger(n_threads);
   std::int32_t threads = ctx.Threads();
 
-  xgboost::common::ParallelFor(nrow, threads, [&](xgboost::omp_ulong i) {
-    for (size_t j = 0; j < ncol; ++j) {
-      data[i * ncol + j] = is_int ? static_cast<float>(iin[i + nrow * j]) : din[i + nrow * j];
-    }
-  });
+  if (is_int) {
+    xgboost::common::ParallelFor(nrow, threads, [&](xgboost::omp_ulong i) {
+      for (size_t j = 0; j < ncol; ++j) {
+        auto v = iin[i + nrow * j];
+        if (v == NA_INTEGER) {
+          data[i * ncol + j] = std::numeric_limits<float>::quiet_NaN();
+        } else {
+          data[i * ncol + j] = static_cast<float>(v);
+        }
+      }
+    });
+  } else {
+    xgboost::common::ParallelFor(nrow, threads, [&](xgboost::omp_ulong i) {
+      for (size_t j = 0; j < ncol; ++j) {
+        data[i * ncol + j] = din[i + nrow * j];
+      }
+    });
+  }
+
   DMatrixHandle handle;
   CHECK_CALL(XGDMatrixCreateFromMat_omp(BeginPtr(data), nrow, ncol,
                                         asReal(missing), &handle, threads));
diff --git a/R-package/tests/testthat/test_dmatrix.R b/R-package/tests/testthat/test_dmatrix.R
index 57cc82c170ed..8d74a0357057 100644
--- a/R-package/tests/testthat/test_dmatrix.R
+++ b/R-package/tests/testthat/test_dmatrix.R
@@ -56,6 +56,42 @@ test_that("xgb.DMatrix: basic construction", {
   expect_equal(raw_fd, raw_dgc)
 })
 
+test_that("xgb.DMatrix: NA", {
+  n_samples <- 3
+  x <- cbind(
+    x1 = sample(x = 4, size = n_samples, replace = TRUE),
+    x2 = sample(x = 4, size = n_samples, replace = TRUE)
+  )
+  x[1, "x1"] <- NA
+
+  m <- xgb.DMatrix(x)
+  xgb.DMatrix.save(m, "int.dmatrix")
+
+  x <- matrix(as.numeric(x), nrow = n_samples, ncol = 2)
+  colnames(x) <- c("x1", "x2")
+  m <- xgb.DMatrix(x)
+
+  xgb.DMatrix.save(m, "float.dmatrix")
+
+  iconn <- file("int.dmatrix", "rb")
+  fconn <- file("float.dmatrix", "rb")
+
+  expect_equal(file.size("int.dmatrix"), file.size("float.dmatrix"))
+
+  bytes <- file.size("int.dmatrix")
+  idmatrix <- readBin(iconn, "raw", n = bytes)
+  fdmatrix <- readBin(fconn, "raw", n = bytes)
+
+  expect_equal(length(idmatrix), length(fdmatrix))
+  expect_equal(idmatrix, fdmatrix)
+
+  close(iconn)
+  close(fconn)
+
+  file.remove("int.dmatrix")
+  file.remove("float.dmatrix")
+})
+
 test_that("xgb.DMatrix: saving, loading", {
   # save to a local file
   dtest1 <- xgb.DMatrix(test_data, label = test_label)