diff --git a/CHANGELOG.md b/CHANGELOG.md
index 078596306..9294fb5a3 100644
--- a/CHANGELOG.md
+++ b/CHANGELOG.md
@@ -26,7 +26,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
 -
 -
 - Fix native networks to work with generated future equals to horizon ([#936](https://github.com/tinkoff-ai/etna/pull/936))
--
+- Fix `SARIMAXModel` to work with exogenous data on `pmdarima>=2.0` ([#940](https://github.com/tinkoff-ai/etna/pull/940))
 -
 
 ## [1.12.0] - 2022-09-05
diff --git a/etna/libs/pmdarima_utils/arima.py b/etna/libs/pmdarima_utils/arima.py
index ae7bdb3be..6149e319c 100644
--- a/etna/libs/pmdarima_utils/arima.py
+++ b/etna/libs/pmdarima_utils/arima.py
@@ -21,16 +21,51 @@
 OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
 SOFTWARE.
 """
-# Note: Copied from pmdarima package (https://github.com/blue-yonder/tsfresh/blob/https://github.com/alkaline-ml/pmdarima/blob/v1.8.5/pmdarima/arima/arima.py)
 
 import numpy as np
 import numpy.polynomial.polynomial as np_polynomial
-from sklearn.utils.validation import check_array
 from pmdarima.utils import diff
 from pmdarima.utils import diff_inv
-from pmdarima.utils import check_endog
+from sklearn.utils.validation import check_array, column_or_1d
 
+DTYPE = np.float64
 
+
+# Note: Copied from pmdarima package (https://github.com/alkaline-ml/pmdarima/blob/v1.8.5/pmdarima/utils/array.py)
+def check_endog(y, dtype=DTYPE, copy=True, force_all_finite=False):
+    """Wrapper for ``check_array`` and ``column_or_1d`` from sklearn
+
+    Parameters
+    ----------
+    y : array-like, shape=(n_samples,)
+        The 1d endogenous array.
+
+    dtype : string, type or None (default=np.float64)
+        Data type of result. If None, the dtype of the input is preserved.
+        If "numeric", dtype is preserved unless array.dtype is object.
+
+    copy : bool, optional (default=False)
+        Whether a forced copy will be triggered. If copy=False, a copy might
+        still be triggered by a conversion.
+
+    force_all_finite : bool, optional (default=False)
+        Whether to raise an error on np.inf and np.nan in an array. The
+        possibilities are:
+
+        - True: Force all values of array to be finite.
+        - False: accept both np.inf and np.nan in array.
+
+    Returns
+    -------
+    y : np.ndarray, shape=(n_samples,)
+        A 1d numpy ndarray
+    """
+    return column_or_1d(
+        check_array(y, ensure_2d=False, force_all_finite=force_all_finite,
+                    copy=copy, dtype=dtype))  # type: np.ndarray
+
+
+# Note: Copied from pmdarima package (https://github.com/alkaline-ml/pmdarima/blob/v1.8.5/pmdarima/arima/arima.py)
 def ARMAtoMA(ar, ma, max_deg):
     r"""
     Convert ARMA coefficients to infinite MA coefficients.
@@ -92,7 +127,7 @@ def ARMAtoMA(ar, ma, max_deg):
     return ema
 
 
-# Note: Originally copied from pmdarima package (https://github.com/blue-yonder/tsfresh/blob/https://github.com/alkaline-ml/pmdarima/blob/v1.8.5/pmdarima/arima/arima.py)
+# Note: Copied from pmdarima package (https://github.com/alkaline-ml/pmdarima/blob/v1.8.5/pmdarima/arima/arima.py)
 def seasonal_prediction_with_confidence(arima_res,
                                         start,
                                         end,
diff --git a/etna/libs/pmdarima_utils/arima.pyi b/etna/libs/pmdarima_utils/arima.pyi
index 22309ef77..0b2a802c8 100644
--- a/etna/libs/pmdarima_utils/arima.pyi
+++ b/etna/libs/pmdarima_utils/arima.pyi
@@ -2,6 +2,13 @@ from typing import Any
 
 from numpy import ndarray
 
+def check_endog(
+    y: Any,
+    dtype: Any,
+    copy: bool,
+    force_all_finite: bool,
+    ) -> ndarray: ...
+
 def ARMAtoMA(
     ar: ndarray, 
     ma: ndarray, 
diff --git a/etna/models/autoarima.py b/etna/models/autoarima.py
index bb6641de4..bef5691fb 100644
--- a/etna/models/autoarima.py
+++ b/etna/models/autoarima.py
@@ -44,7 +44,8 @@ def __init__(
         super().__init__()
 
     def _get_fit_results(self, endog: pd.Series, exog: pd.DataFrame) -> SARIMAXResultsWrapper:
-        model = pm.auto_arima(endog, X=exog, **self.kwargs)
+        endog_np = endog.values
+        model = pm.auto_arima(endog_np, X=exog, **self.kwargs)
         return model.arima_res_
 
 
diff --git a/etna/models/sarimax.py b/etna/models/sarimax.py
index 1b5a9d880..be8752d63 100644
--- a/etna/models/sarimax.py
+++ b/etna/models/sarimax.py
@@ -324,7 +324,7 @@ def __init__(
         super().__init__()
 
     def _get_fit_results(self, endog: pd.Series, exog: pd.DataFrame):
-        # make it a numpy array for forgetting about indices, it is necessary for _seasonal_prediction_with_confidence
+        # make it a numpy array for forgetting about indices, it is necessary for seasonal_prediction_with_confidence
         endog_np = endog.values
         model = SARIMAX(
             endog=endog_np,