diff --git a/doc/source/whatsnew/v0.20.0.txt b/doc/source/whatsnew/v0.20.0.txt
index fa24c973a7549..efcc6ee5577d7 100644
--- a/doc/source/whatsnew/v0.20.0.txt
+++ b/doc/source/whatsnew/v0.20.0.txt
@@ -627,3 +627,4 @@ Bug Fixes
 - Bug in ``Series.replace`` and ``DataFrame.replace`` which failed on empty replacement dicts (:issue:`15289`)
 - Bug in ``pd.melt()`` where passing a tuple value for ``value_vars`` caused a ``TypeError`` (:issue:`15348`)
 - Bug in ``.eval()`` which caused multiline evals to fail with local variables not on the first line (:issue:`15342`)
+- Bug in ``pd.read_msgpack`` which did not allow to load dataframe with an index of type ``CategoricalIndex`` (:issue:`15487`)
diff --git a/pandas/io/packers.py b/pandas/io/packers.py
index 3f4be6ad459d8..7afe8a06b6af1 100644
--- a/pandas/io/packers.py
+++ b/pandas/io/packers.py
@@ -54,7 +54,7 @@
 from pandas import (Timestamp, Period, Series, DataFrame,  # noqa
                     Index, MultiIndex, Float64Index, Int64Index,
                     Panel, RangeIndex, PeriodIndex, DatetimeIndex, NaT,
-                    Categorical)
+                    Categorical, CategoricalIndex)
 from pandas.tslib import NaTType
 from pandas.sparse.api import SparseSeries, SparseDataFrame
 from pandas.sparse.array import BlockIndex, IntIndex
diff --git a/pandas/tests/io/test_packers.py b/pandas/tests/io/test_packers.py
index 097c03937ca68..a832e537b9d3f 100644
--- a/pandas/tests/io/test_packers.py
+++ b/pandas/tests/io/test_packers.py
@@ -150,6 +150,14 @@ def __init__(self):
         tm.assertRaises(ValueError, read_msgpack, path_or_buf={})
         tm.assertRaises(ValueError, read_msgpack, path_or_buf=A())
 
+    def test_msgpack_categorical_index(self):
+        # GH15487        
+        df = DataFrame(np.random.randn(10, 2))
+        df = df.astype({0: 'category'}).set_index(0)
+        s = to_msgpack(None, df)
+        result = read_msgpack(s)
+        tm.assert_frame_equal(result, df)
+
 
 class TestNumpy(TestPackers):