diff --git a/numpyro/infer/mcmc.py b/numpyro/infer/mcmc.py
index 58d5eaf39..3b9afb185 100644
--- a/numpyro/infer/mcmc.py
+++ b/numpyro/infer/mcmc.py
@@ -204,6 +204,11 @@ class MCMC(object):
     .. note:: Setting `progress_bar=False` will improve the speed for many cases. But it might
         require more memory than the other option.
 
+    .. note:: If setting `num_chains` greater than `1` in a Jupyter Notebook, then you will need to
+        have installed `ipywidgets <https://ipywidgets.readthedocs.io/en/latest/user_install.html>`_
+        in the environment from which you launced Jupyter in order for the progress bars to render
+        correctly.
+
     :param MCMCKernel sampler: an instance of :class:`~numpyro.infer.mcmc.MCMCKernel` that
         determines the sampler for running MCMC. Currently, only :class:`~numpyro.infer.hmc.HMC`
         and :class:`~numpyro.infer.hmc.NUTS` are available.
diff --git a/numpyro/util.py b/numpyro/util.py
index 9405caa86..26b751ae6 100644
--- a/numpyro/util.py
+++ b/numpyro/util.py
@@ -21,6 +21,7 @@
 from jax.tree_util import tree_flatten, tree_map
 
 _DISABLE_CONTROL_FLOW_PRIM = False
+_CHAIN_RE = re.compile(r"(?<=_)\d+$")  # e.g. get '3' from 'TFRT_CPU_3'
 
 
 def set_rng_seed(rng_seed):
@@ -189,12 +190,16 @@ def progress_bar_factory(num_samples, num_chains):
         tqdm_bars[chain].set_description("Compiling.. ", refresh=True)
 
     def _update_tqdm(arg, transform, device):
-        chain = int(str(device)[4:])
+        chain_match = _CHAIN_RE.search(str(device))
+        assert chain_match
+        chain = int(chain_match.group())
         tqdm_bars[chain].set_description(f"Running chain {chain}", refresh=False)
         tqdm_bars[chain].update(arg)
 
     def _close_tqdm(arg, transform, device):
-        chain = int(str(device)[4:])
+        chain_match = _CHAIN_RE.search(str(device))
+        assert chain_match
+        chain = int(chain_match.group())
         tqdm_bars[chain].update(arg)
         finished_chains.append(chain)
         if len(finished_chains) == num_chains: