diff --git a/sklearnex/dispatcher.py b/sklearnex/dispatcher.py
index f93e5e554b..bffed7d64b 100644
--- a/sklearnex/dispatcher.py
+++ b/sklearnex/dispatcher.py
@@ -47,11 +47,13 @@ def get_patch_map():
         import sklearn.linear_model as linear_model_module
         import sklearn.neighbors as neighbors_module
         import sklearn.svm as svm_module
+        import sklearn.utils.parallel as parallel_module
 
         # Classes and functions for patching
         from ._config import config_context as config_context_sklearnex
         from ._config import get_config as get_config_sklearnex
         from ._config import set_config as set_config_sklearnex
+        from .utils.parallel import _FuncWrapper as _FuncWrapper_sklearnex
         from .neighbors import KNeighborsClassifier as KNeighborsClassifier_sklearnex
         from .neighbors import KNeighborsRegressor as KNeighborsRegressor_sklearnex
         from .neighbors import LocalOutlierFactor as LocalOutlierFactor_sklearnex
@@ -202,6 +204,14 @@ def get_patch_map():
         mapping["config_context"] = [
             [(base_module, "config_context", config_context_sklearnex), None]
         ]
+
+        # Necessary for proper work with multiple threads
+        mapping["parallel.get_config"] = [
+            [(parallel_module, "get_config", get_config_sklearnex), None]
+        ]
+        mapping["_funcwrapper"] = [
+            [(parallel_module, "_FuncWrapper", _FuncWrapper_sklearnex), None]
+        ]
     return mapping
 
 
diff --git a/sklearnex/utils/parallel.py b/sklearnex/utils/parallel.py
new file mode 100644
index 0000000000..479f8aae3c
--- /dev/null
+++ b/sklearnex/utils/parallel.py
@@ -0,0 +1,44 @@
+#===============================================================================
+# Copyright 2022 Intel Corporation
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at
+#
+#     http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+#===============================================================================
+
+import warnings
+from functools import update_wrapper
+from .._config import config_context
+
+class _FuncWrapper:
+    """Load the global configuration before calling the function."""
+
+    def __init__(self, function):
+        self.function = function
+        update_wrapper(self, self.function)
+
+    def with_config(self, config):
+        self.config = config
+        return self
+
+    def __call__(self, *args, **kwargs):
+        config = getattr(self, "config", None)
+        if config is None:
+            warnings.warn(
+                "`sklearn.utils.parallel.delayed` should be used with "
+                "`sklearn.utils.parallel.Parallel` to make it possible to propagate "
+                "the scikit-learn configuration of the current thread to the "
+                "joblib workers.",
+                UserWarning,
+            )
+            config = {}
+        with config_context(**config):
+            return self.function(*args, **kwargs)