diff --git a/pygmt/clib/loading.py b/pygmt/clib/loading.py
index c98da792e82..ee46c9ebd5c 100644
--- a/pygmt/clib/loading.py
+++ b/pygmt/clib/loading.py
@@ -6,6 +6,7 @@
 """
 import ctypes
 import os
+import subprocess as sp
 import sys
 from ctypes.util import find_library
 
@@ -31,9 +32,10 @@ def load_libgmt():
         If there was any problem loading the library (couldn't find it or
         couldn't access the functions).
     """
-    lib_fullnames = clib_full_names()
+    lib_fullnames = []
     error = True
-    for libname in lib_fullnames:
+    for libname in clib_full_names():
+        lib_fullnames.append(libname)
         try:
             libgmt = ctypes.CDLL(libname)
             check_libgmt(libgmt)
@@ -72,7 +74,7 @@ def clib_names(os_name):
     elif os_name.startswith("freebsd"):  # FreeBSD
         libnames = ["libgmt.so"]
     else:
-        raise GMTOSError(f'Operating system "{sys.platform}" not supported.')
+        raise GMTOSError(f'Operating system "{os_name}" not supported.')
     return libnames
 
 
@@ -86,24 +88,45 @@ def clib_full_names(env=None):
         A dictionary containing the environment variables. If ``None``, will
         default to ``os.environ``.
 
-    Returns
-    -------
+    Yields
+    ------
     lib_fullnames: list of str
         List of possible full names of GMT's shared library.
     """
     if env is None:
         env = os.environ
+
     libnames = clib_names(os_name=sys.platform)  # e.g. libgmt.so, libgmt.dylib, gmt.dll
-    libpath = env.get("GMT_LIBRARY_PATH", "")  # e.g. $HOME/miniconda/envs/pygmt/lib
 
-    lib_fullnames = [os.path.join(libpath, libname) for libname in libnames]
-    # Search for DLLs in PATH if GMT_LIBRARY_PATH is not defined [Windows only]
-    if not libpath and sys.platform == "win32":
+    # list of libraries paths to search, sort by priority from high to low
+    # Search for libraries in GMT_LIBRARY_PATH if defined.
+    libpath = env.get("GMT_LIBRARY_PATH", "")  # e.g. $HOME/miniconda/envs/pygmt/lib
+    if libpath:
+        for libname in libnames:
+            libfullpath = os.path.join(libpath, libname)
+            if os.path.exists(libfullpath):
+                yield libfullpath
+
+    # Search for the library returned by command "gmt --show-library"
+    try:
+        libfullpath = sp.check_output(
+            ["gmt", "--show-library"], encoding="utf-8"
+        ).rstrip("\n")
+        assert os.path.exists(libfullpath)
+        yield libfullpath
+    except (FileNotFoundError, AssertionError):  # command not found
+        pass
+
+    # Search for DLLs in PATH (done by calling "find_library")
+    if sys.platform == "win32":
         for libname in libnames:
             libfullpath = find_library(libname)
             if libfullpath:
-                lib_fullnames.append(libfullpath)
-    return lib_fullnames
+                yield libfullpath
+
+    # Search for library names in the system default path [the lowest priority]
+    for libname in libnames:
+        yield libname
 
 
 def check_libgmt(libgmt):
@@ -128,10 +151,5 @@ def check_libgmt(libgmt):
     functions = ["Create_Session", "Get_Enum", "Call_Module", "Destroy_Session"]
     for func in functions:
         if not hasattr(libgmt, "GMT_" + func):
-            msg = " ".join(
-                [
-                    "Error loading libgmt.",
-                    "Couldn't access function GMT_{}.".format(func),
-                ]
-            )
+            msg = f"Error loading libgmt. Couldn't access function GMT_{func}."
             raise GMTCLibError(msg)
diff --git a/pygmt/tests/test_clib_loading.py b/pygmt/tests/test_clib_loading.py
index 54fb89b3f5f..0d2edc9b60e 100644
--- a/pygmt/tests/test_clib_loading.py
+++ b/pygmt/tests/test_clib_loading.py
@@ -1,7 +1,8 @@
 """
 Test the functions that load libgmt.
 """
-import os
+import subprocess
+import sys
 
 import pytest
 from pygmt.clib.loading import check_libgmt, clib_names, load_libgmt
@@ -23,22 +24,28 @@ def test_load_libgmt():
     check_libgmt(load_libgmt())
 
 
-def test_load_libgmt_fail():
+@pytest.mark.skipif(sys.platform == "win32", reason="run on UNIX platforms only")
+def test_load_libgmt_fails(monkeypatch):
     """
-    Test that loading fails when given a bad library path.
+    Test that GMTCLibNotFoundError is raised when GMT's shared library cannot
+    be found.
     """
-    # save the old value (if any) before setting a fake "GMT_LIBRARY_PATH"
-    old_gmt_library_path = os.environ.get("GMT_LIBRARY_PATH")
+    with monkeypatch.context() as mpatch:
+        mpatch.setattr(sys, "platform", "win32")  # pretend to be on Windows
+        mpatch.setattr(
+            subprocess, "check_output", lambda cmd, encoding: "libfakegmt.so"
+        )
+        with pytest.raises(GMTCLibNotFoundError):
+            check_libgmt(load_libgmt())
 
-    os.environ["GMT_LIBRARY_PATH"] = "/not/a/real/path"
-    with pytest.raises(GMTCLibNotFoundError):
-        load_libgmt()
 
-    # revert back to the original status (if any)
-    if old_gmt_library_path:
-        os.environ["GMT_LIBRARY_PATH"] = old_gmt_library_path
-    else:
-        del os.environ["GMT_LIBRARY_PATH"]
+def test_load_libgmt_with_a_bad_library_path(monkeypatch):
+    """
+    Test that loading still works when given a bad library path.
+    """
+    # Set a fake "GMT_LIBRARY_PATH"
+    monkeypatch.setenv("GMT_LIBRARY_PATH", "/not/a/real/path")
+    assert check_libgmt(load_libgmt()) is None
 
 
 def test_clib_names():
@@ -49,5 +56,7 @@ def test_clib_names():
         assert clib_names(linux) == ["libgmt.so"]
     assert clib_names("darwin") == ["libgmt.dylib"]
     assert clib_names("win32") == ["gmt.dll", "gmt_w64.dll", "gmt_w32.dll"]
+    for freebsd in ["freebsd10", "freebsd11", "freebsd12"]:
+        assert clib_names(freebsd) == ["libgmt.so"]
     with pytest.raises(GMTOSError):
         clib_names("meh")