diff --git a/CMakeLists.txt b/CMakeLists.txt
index 9dce69903..8a8b6ce01 100644
--- a/CMakeLists.txt
+++ b/CMakeLists.txt
@@ -428,6 +428,14 @@ add_subdirectory(CppUnitLite)
 if(GTSAM_BUILD_PYTHON)
     list(APPEND CMAKE_MODULE_PATH "${CMAKE_CURRENT_LIST_DIR}/wrap/cmake")
     add_subdirectory(python)
+    if(CMAKE_SYSTEM_NAME STREQUAL "Linux" OR CMAKE_SYSTEM_NAME STREQUAL "Darwin")
+        # Common directory which always has write access
+        # This is because the exact location of the Python installation may vary
+        # depending on various factors such as python version and use of virtual envs.
+        set(GTSAM_PYTHON_DATASET_DIR "/tmp/gtsam_example_data")
+    elseif(CMAKE_SYSTEM_NAME STREQUAL "Windows")
+        set(GTSAM_PYTHON_DATASET_DIR "$ENV{LOCALAPPDATA}/gtsam_example_data")
+    endif()
 endif()
 
 # Build GTSAM library
diff --git a/gtsam/config.h.in b/gtsam/config.h.in
index 9d1bd4ebd..7f5be65b0 100644
--- a/gtsam/config.h.in
+++ b/gtsam/config.h.in
@@ -27,6 +27,7 @@
 // Paths to example datasets distributed with GTSAM
 #define GTSAM_SOURCE_TREE_DATASET_DIR "@GTSAM_SOURCE_DIR@/examples/Data"
 #define GTSAM_INSTALLED_DATASET_DIR "@GTSAM_TOOLBOX_INSTALL_PATH@/gtsam_examples/Data"
+#define GTSAM_PYTHON_DATASET_DIR "@GTSAM_PYTHON_DATASET_DIR"
 
 // Whether GTSAM is compiled to use quaternions for Rot3 (otherwise uses rotation matrices)
 #cmakedefine GTSAM_USE_QUATERNIONS