diff --git a/.gitignore b/.gitignore
index 4147ffe5d..1d78d41bd 100644
--- a/.gitignore
+++ b/.gitignore
@@ -24,6 +24,8 @@ build
 coverage.xml
 dist
 docs/*.rst
+docs/examples
+docs/backreferences
 examples/data
 htmlcov
 .idea
diff --git a/docs/Makefile b/docs/Makefile
index 5bb51661b..84806808e 100644
--- a/docs/Makefile
+++ b/docs/Makefile
@@ -53,7 +53,7 @@ help:
 	@echo "  coverage   to run coverage check of the documentation (if enabled)"
 
 clean:
-	rm -rf $(BUILDDIR)/*
+	rm -rf $(BUILDDIR)/* backreferences examples
 
 html:
 	$(SPHINXBUILD) -b html $(ALLSPHINXOPTS) $(BUILDDIR)/html
diff --git a/docs/conf.py b/docs/conf.py
index fb7f60476..43110b53e 100644
--- a/docs/conf.py
+++ b/docs/conf.py
@@ -40,6 +40,7 @@
     'sphinx.ext.coverage',
     'sphinx.ext.mathjax',
     'sphinx.ext.ifconfig',
+    'sphinx_gallery.gen_gallery',
 ]
 
 # Add any paths that contain templates here, relative to this directory.
@@ -290,3 +291,9 @@
 #texinfo_no_detailmenu = False
 
 napoleon_include_special_with_doc = True
+
+sphinx_gallery_conf = {
+    'backreferences_dir': 'backreferences',
+    'examples_dirs': '../examples',
+    'gallery_dirs': 'examples',
+}
diff --git a/docs/index.rst b/docs/index.rst
index 2713a0d73..9cc83531a 100644
--- a/docs/index.rst
+++ b/docs/index.rst
@@ -11,6 +11,7 @@ Table of contents
 .. toctree::
 
    release_notes
+   examples/index
    api
    contributing
 
diff --git a/docs/newsfragments/268.doc b/docs/newsfragments/268.doc
new file mode 100644
index 000000000..eb4bd5a40
--- /dev/null
+++ b/docs/newsfragments/268.doc
@@ -0,0 +1 @@
+Add examples to HTML documentation using Sphinx-Gallery.
diff --git a/examples/README.txt b/examples/README.txt
new file mode 100644
index 000000000..b90c0e1cb
--- /dev/null
+++ b/examples/README.txt
@@ -0,0 +1,3 @@
+========
+Examples
+========
diff --git a/examples/eventseg/README.txt b/examples/eventseg/README.txt
new file mode 100644
index 000000000..de8bf411d
--- /dev/null
+++ b/examples/eventseg/README.txt
@@ -0,0 +1,2 @@
+Event segmentation examples
+===========================
diff --git a/examples/eventseg/simulated_data.py b/examples/eventseg/plot_simulated_data.py
similarity index 96%
rename from examples/eventseg/simulated_data.py
rename to examples/eventseg/plot_simulated_data.py
index deb090bf9..1618d20c7 100644
--- a/examples/eventseg/simulated_data.py
+++ b/examples/eventseg/plot_simulated_data.py
@@ -1,4 +1,6 @@
-"""Example of finding event segmentations on simulated data
+"""
+Example of finding event segmentations on simulated data
+========================================================
 
 This code generates simulated datasets that have temporally-clustered
 structure (with the same series of latent event patterns). An event
diff --git a/requirements-dev.txt b/requirements-dev.txt
index 2f4756dcf..3fbd03368 100644
--- a/requirements-dev.txt
+++ b/requirements-dev.txt
@@ -1,11 +1,14 @@
 coverage
 flake8
 flake8-print
+matplotlib
 mypy
 numdifftools
+pillow
 pytest
 restructuredtext-lint
 setuptools_scm
 sphinx
+sphinx-gallery
 sphinx_rtd_theme
 towncrier