diff --git a/doc/api/index.rst b/doc/api/index.rst
index 301aac99e0c..fb481441fbd 100644
--- a/doc/api/index.rst
+++ b/doc/api/index.rst
@@ -72,6 +72,15 @@ Operations on grids:
     grdinfo
     grdtrack
 
+GMT Defaults
+------------
+
+Operations on GMT defaults:
+
+.. autosummary::
+    :toctree: generated
+
+    config
 
 Miscellaneous
 -------------
diff --git a/pygmt/__init__.py b/pygmt/__init__.py
index fd6e8626d7c..712ea64e8d5 100644
--- a/pygmt/__init__.py
+++ b/pygmt/__init__.py
@@ -17,7 +17,7 @@
 from .gridding import surface
 from .sampling import grdtrack
 from .mathops import makecpt
-from .modules import info, grdinfo, which
+from .modules import config, info, grdinfo, which
 from . import datasets
 
 
diff --git a/pygmt/modules.py b/pygmt/modules.py
index 12e1f0e7c7b..1d96fc3e11b 100644
--- a/pygmt/modules.py
+++ b/pygmt/modules.py
@@ -142,3 +142,45 @@ def which(fname, **kwargs):
     if not path:
         raise FileNotFoundError("File '{}' not found.".format(fname))
     return path
+
+
+class config:  # pylint: disable=invalid-name
+    """
+    Set GMT defaults globally or locally.
+
+    Change GMT defaults globally::
+
+        pygmt.config(PARAMETER=value)
+
+    Change GMT defaults locally by using it as a context manager::
+
+        with pygmt.config(PARAMETER=value):
+            ...
+
+    Full GMT defaults list at :gmt-docs:`gmt.conf.html`
+    """
+
+    def __init__(self, **kwargs):
+        # Save values so that we can revert to their initial values
+        self.old_defaults = {}
+        with Session() as lib:
+            for key in kwargs:
+                self.old_defaults[key] = lib.get_default(key)
+
+        # call gmt set to change GMT defaults
+        arg_str = " ".join(
+            ["{}={}".format(key, value) for key, value in kwargs.items()]
+        )
+        with Session() as lib:
+            lib.call_module("set", arg_str)
+
+    def __enter__(self):
+        return self
+
+    def __exit__(self, exc_type, exc_value, traceback):
+        # revert to initial values
+        arg_str = " ".join(
+            ["{}={}".format(key, value) for key, value in self.old_defaults.items()]
+        )
+        with Session() as lib:
+            lib.call_module("set", arg_str)
diff --git a/pygmt/tests/baseline/test_config.png b/pygmt/tests/baseline/test_config.png
new file mode 100644
index 00000000000..d234eb2684c
Binary files /dev/null and b/pygmt/tests/baseline/test_config.png differ
diff --git a/pygmt/tests/test_config.py b/pygmt/tests/test_config.py
new file mode 100644
index 00000000000..7b499f355f5
--- /dev/null
+++ b/pygmt/tests/test_config.py
@@ -0,0 +1,37 @@
+"""
+Tests for gmt config
+"""
+import pytest
+
+from .. import Figure, config
+
+
+@pytest.mark.mpl_image_compare
+def test_config():
+    """
+    Test if config works globally and locally.
+    """
+    # Change global settings
+    config(FONT_ANNOT_PRIMARY="blue")
+    fig = Figure()
+    fig.basemap(
+        region="0/10/0/10", projection="X10c/10c", frame=["af", '+t"Blue Annotation"']
+    )
+
+    with config(FONT_LABEL="red", FONT_ANNOT_PRIMARY="red"):
+        fig.basemap(
+            region="0/10/0/10",
+            projection="X10c/10c",
+            frame=['xaf+l"red label"', "yaf", '+t"red annotation"'],
+            X="15c",
+        )
+
+    fig.basemap(
+        region="0/10/0/10",
+        projection="X10c/10c",
+        frame=["af", '+t"Blue Annotation"'],
+        X="15c",
+    )
+    # Revert to default settings
+    config(FONT_ANNOT_PRIMARY="black")
+    return fig