diff --git a/doc/source/v0.15.0.txt b/doc/source/v0.15.0.txt
index d776848de40d0..e8203a6b74933 100644
--- a/doc/source/v0.15.0.txt
+++ b/doc/source/v0.15.0.txt
@@ -152,6 +152,7 @@ There are no experimental changes in 0.15.0
 Bug Fixes
 ~~~~~~~~~
 
+- Bug in ``DatetimeIndex``, ``__iter__`` creates a temp array of ``Timestamp`` (:issue:`7683`)
 
 
 
diff --git a/pandas/core/base.py b/pandas/core/base.py
index ce078eb91735d..33beaa58affda 100644
--- a/pandas/core/base.py
+++ b/pandas/core/base.py
@@ -387,6 +387,9 @@ def _ops_compat(self, name, op_accessor):
     is_year_start = _field_accessor('is_year_start', "Logical indicating if first day of year (defined by frequency)")
     is_year_end = _field_accessor('is_year_end', "Logical indicating if last day of year (defined by frequency)")
 
+    def __iter__(self):
+        return (self._box_func(v) for v in self.asi8)
+
     @property
     def _box_func(self):
         """
diff --git a/pandas/tseries/index.py b/pandas/tseries/index.py
index de758c4c8a579..704a6a7d1ddec 100644
--- a/pandas/tseries/index.py
+++ b/pandas/tseries/index.py
@@ -1476,9 +1476,6 @@ def normalize(self):
         return DatetimeIndex(new_values, freq='infer', name=self.name,
                              tz=self.tz)
 
-    def __iter__(self):
-        return iter(self.asobject)
-
     def searchsorted(self, key, side='left'):
         if isinstance(key, np.ndarray):
             key = np.array(key, dtype=_NS_DTYPE, copy=False)
diff --git a/pandas/tseries/period.py b/pandas/tseries/period.py
index cceac61f392a8..a94a45a5cc501 100644
--- a/pandas/tseries/period.py
+++ b/pandas/tseries/period.py
@@ -738,10 +738,6 @@ def astype(self, dtype):
             return Index(self.values, dtype)
         raise ValueError('Cannot cast PeriodIndex to dtype %s' % dtype)
 
-    def __iter__(self):
-        for val in self.values:
-            yield Period(ordinal=val, freq=self.freq)
-
     def searchsorted(self, key, side='left'):
         if isinstance(key, compat.string_types):
             key = Period(key, freq=self.freq).ordinal
diff --git a/vb_suite/timeseries.py b/vb_suite/timeseries.py
index 2b63eeaf99550..bb55b88cf1f34 100644
--- a/vb_suite/timeseries.py
+++ b/vb_suite/timeseries.py
@@ -333,3 +333,28 @@ def date_range(start=None, end=None, periods=None, freq=None):
 
 timeseries_is_month_start = Benchmark('rng.is_month_start', setup,
                                   start_date=datetime(2014, 4, 1))
+
+#----------------------------------------------------------------------
+# iterate over DatetimeIndex/PeriodIndex
+setup = common_setup + """
+N = 1000000
+M = 10000
+idx1 = date_range(start='20140101', freq='T', periods=N)
+idx2 = period_range(start='20140101', freq='T', periods=N)
+
+def iter_n(iterable, n=None):
+  i = 0
+  for _ in iterable:
+    i += 1
+    if n is not None and i > n:
+      break
+"""
+
+timeseries_iter_datetimeindex = Benchmark('iter_n(idx1)', setup)
+
+timeseries_iter_periodindex = Benchmark('iter_n(idx2)', setup)
+
+timeseries_iter_datetimeindex_preexit = Benchmark('iter_n(idx1, M)', setup)
+
+timeseries_iter_periodindex_preexit = Benchmark('iter_n(idx2, M)', setup)
+