diff --git a/miplearn/__init__.py b/miplearn/__init__.py
index 692281f..071ff3c 100644
--- a/miplearn/__init__.py
+++ b/miplearn/__init__.py
@@ -19,6 +19,7 @@ from .instance.picklegz import (
     write_pickle_gz,
     read_pickle_gz,
     write_pickle_gz_multiple,
+    save,
 )
 from .log import setup_logger
 from .solvers.gurobi import GurobiSolver
diff --git a/miplearn/instance/picklegz.py b/miplearn/instance/picklegz.py
index bdceae7..1a9db99 100644
--- a/miplearn/instance/picklegz.py
+++ b/miplearn/instance/picklegz.py
@@ -153,3 +153,27 @@ def read_pickle_gz(filename: str) -> Any:
 def write_pickle_gz_multiple(objs: List[Any], dirname: str) -> None:
     for (i, obj) in enumerate(objs):
         write_pickle_gz(obj, f"{dirname}/{i:05d}.pkl.gz")
+
+
+def save(objs: List[Any], dirname: str) -> List[str]:
+    """
+    Saves the provided objects to gzipped pickled files. Files are named sequentially
+    as `dirname/00000.pkl.gz`, `dirname/00001.pkl.gz`, etc.
+
+    Parameters
+    ----------
+    objs: List[any]
+        List of files to save
+    dirname: str
+        Output directory
+
+    Returns
+    -------
+    List containing the relative paths of the saved files.
+    """
+    filenames = []
+    for (i, obj) in enumerate(objs):
+        filename = f"{dirname}/{i:05d}.pkl.gz"
+        filenames.append(filename)
+        write_pickle_gz(obj, filename)
+    return filenames
diff --git a/tests/instance/test_picklegz.py b/tests/instance/test_picklegz.py
index ebdb017..e7b14e3 100644
--- a/tests/instance/test_picklegz.py
+++ b/tests/instance/test_picklegz.py
@@ -1,10 +1,16 @@
 #  MIPLearn: Extensible Framework for Learning-Enhanced Mixed-Integer Optimization
 #  Copyright (C) 2020-2021, UChicago Argonne, LLC. All rights reserved.
 #  Released under the modified BSD license. See COPYING.md for more details.
+
 import tempfile
+from typing import cast, IO
 
 from miplearn.instance.picklegz import write_pickle_gz, PickleGzInstance
 from miplearn.solvers.gurobi import GurobiSolver
+from miplearn import save
+from os.path import exists
+import gzip
+import pickle
 
 
 def test_usage() -> None:
@@ -14,3 +20,14 @@ def test_usage() -> None:
     pickled = PickleGzInstance(file.name)
     pickled.load()
     assert pickled.to_model() is not None
+
+
+def test_save() -> None:
+    objs = [1, "ABC", True]
+    with tempfile.TemporaryDirectory() as dirname:
+        filenames = save(objs, dirname)
+        assert len(filenames) == 3
+        for (idx, f) in enumerate(filenames):
+            assert exists(f)
+            with gzip.GzipFile(f, "rb") as file:
+                assert pickle.load(cast(IO[bytes], file)) == objs[idx]