Ken Jin <kenjin4...@gmail.com> added the comment:

Hmm apologies I'm stumped then. The only things I managed to surmise from 
xgboost's and scikit-learn's GitHub issues is that this is a recurring issue 
specifically when using GridSearchCV :

Threads with discussions on workarounds:
https://github.com/scikit-learn/scikit-learn/issues/6627
https://github.com/scikit-learn/scikit-learn/issues/5115

Issues reported:
https://github.com/dmlc/xgboost/issues/2163
https://github.com/scikit-learn/scikit-learn/issues/10533
https://github.com/scikit-learn/scikit-learn/issues/10538 (this looks quite 
similar to your issue)

Some quick workarounds I saw were:
1. Remove n_jobs argument from GridSearchCV
2. Use parallel_backend from sklearn.externals.joblib rather than 
concurrent.futures so that the pools from both libraries don't have weird 
interactions.

I recommend opening an issue on scikit-learn/XGBoost's GitHub. This seems like 
a common problem that they face.

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