diff --git a/ci/docker/pandas-db-test.dockerfile b/ci/docker/pandas-db-test.dockerfile
new file mode 100644
index 0000000000000..9270054ef6867
--- /dev/null
+++ b/ci/docker/pandas-db-test.dockerfile
@@ -0,0 +1,19 @@
+FROM python
+
+RUN apt-get update
+
+RUN python -m pip install --upgrade pip
+RUN python -m pip install \
+    cython \
+    hypothesis \
+    numpy \
+    pymysql \
+    psycopg2 \
+    pytest \
+    pytest-asyncio \
+    python-dateutil \
+    pytz \
+    sqlalchemy
+
+WORKDIR /pandas
+
diff --git a/ci/scripts/run-db-tests.sh b/ci/scripts/run-db-tests.sh
new file mode 100755
index 0000000000000..b6e5356b97316
--- /dev/null
+++ b/ci/scripts/run-db-tests.sh
@@ -0,0 +1,6 @@
+#!/bin/bash
+
+set -e
+
+python setup.py build_ext --inplace -j4
+python -m pytest pandas/tests/io/test_sql.py
diff --git a/docker-compose.yml b/docker-compose.yml
new file mode 100644
index 0000000000000..257bda50101df
--- /dev/null
+++ b/docker-compose.yml
@@ -0,0 +1,21 @@
+services:
+  testing:
+    build:
+      context: .
+      dockerfile: ci/docker/pandas-db-test.dockerfile
+    volumes:
+      - .:/pandas
+    command: /pandas/ci/scripts/run-db-tests.sh
+
+  postgres-db:
+    image: postgres
+    environment:
+      POSTGRES_USER: postgres
+      POSTGRES_PASSWORD: postgres
+      POSTGRES_DB: pandas
+
+  mysql-db:
+    image: mysql
+    environment:
+      MYSQL_ALLOW_EMPTY_PASSWORD: yes
+      MYSQL_DATABASE: pandas
diff --git a/pandas/tests/io/test_sql.py b/pandas/tests/io/test_sql.py
index e4318f1d79102..e57293d445a7b 100644
--- a/pandas/tests/io/test_sql.py
+++ b/pandas/tests/io/test_sql.py
@@ -381,7 +381,7 @@ def mysql_pymysql_engine(iris_path, types_data):
     sqlalchemy = pytest.importorskip("sqlalchemy")
     pymysql = pytest.importorskip("pymysql")
     engine = sqlalchemy.create_engine(
-        "mysql+pymysql://root@localhost:3306/pandas",
+        "mysql+pymysql://root@mysql-db:3306/pandas",
         connect_args={"client_flag": pymysql.constants.CLIENT.MULTI_STATEMENTS},
     )
     insp = sqlalchemy.inspect(engine)
@@ -409,7 +409,7 @@ def postgresql_psycopg2_engine(iris_path, types_data):
     sqlalchemy = pytest.importorskip("sqlalchemy")
     pytest.importorskip("psycopg2")
     engine = sqlalchemy.create_engine(
-        "postgresql+psycopg2://postgres:postgres@localhost:5432/pandas"
+        "postgresql+psycopg2://postgres:postgres@postgres-db:5432/pandas"
     )
     insp = sqlalchemy.inspect(engine)
     if not insp.has_table("iris"):
@@ -1528,7 +1528,7 @@ def test_sql_open_close(self, test_frame3):
 
     @pytest.mark.skipif(SQLALCHEMY_INSTALLED, reason="SQLAlchemy is installed")
     def test_con_string_import_error(self):
-        conn = "mysql://root@localhost/pandas"
+        conn = "mysql://root@mysql-db/pandas"
         msg = "Using URI string without sqlalchemy installed"
         with pytest.raises(ImportError, match=msg):
             sql.read_sql("SELECT * FROM iris", conn)
@@ -2382,7 +2382,7 @@ class _TestMySQLAlchemy:
     @classmethod
     def connect(cls):
         return sqlalchemy.create_engine(
-            f"mysql+{cls.driver}://root@localhost:{cls.port}/pandas",
+            f"mysql+{cls.driver}://root@mysql-db:{cls.port}/pandas",
             connect_args=cls.connect_args,
         )
 
@@ -2408,7 +2408,7 @@ class _TestPostgreSQLAlchemy:
     @classmethod
     def connect(cls):
         return sqlalchemy.create_engine(
-            f"postgresql+{cls.driver}://postgres:postgres@localhost:{cls.port}/pandas"
+            f"postgresql+{cls.driver}://postgres:postgres@postgres-db:{cls.port}/pandas"
         )
 
     @classmethod