diff --git a/pygmt/tests/test_figure.py b/pygmt/tests/test_figure.py
index aadaaacfad3..8c1c03dcbe6 100644
--- a/pygmt/tests/test_figure.py
+++ b/pygmt/tests/test_figure.py
@@ -11,7 +11,7 @@
 import pytest
 from pygmt import Figure, set_display
 from pygmt.exceptions import GMTError, GMTInvalidInput
-from pygmt.figure import _get_default_display_method
+from pygmt.figure import SHOW_CONFIG, _get_default_display_method
 from pygmt.helpers import GMTTempFile
 
 try:
@@ -373,12 +373,28 @@ def test_figure_display_external():
     fig.show(method="external")
 
 
-def test_figure_set_display_invalid():
+class TestSetDisplay:
     """
-    Test to check if an error is raised when an invalid method is passed to set_display.
+    Test the pygmt.set_display method.
     """
-    with pytest.raises(GMTInvalidInput):
-        set_display(method="invalid")
+
+    def test_set_display(self):
+        """
+        Test pygmt.set_display.
+        """
+        current_method = SHOW_CONFIG["method"]
+        for method in ("notebook", "external", "none"):
+            set_display(method=method)
+            assert SHOW_CONFIG["method"] == method
+        set_display(method=None)
+        assert SHOW_CONFIG["method"] == current_method
+
+    def test_invalid_method(self):
+        """
+        Test if an error is raised when an invalid method is passed.
+        """
+        with pytest.raises(GMTInvalidInput):
+            set_display(method="invalid")
 
 
 def test_figure_unsupported_xshift_yshift():