diff --git a/tests/test_cli.py b/tests/test_cli.py
new file mode 100644
index 0000000..0051aa1
--- /dev/null
+++ b/tests/test_cli.py
@@ -0,0 +1,149 @@
+"""
+Unit tests for CLI entry points.
+"""
+
+import unittest
+import sys
+import functools
+from contextlib import contextmanager
+
+import os
+from io import StringIO, BytesIO
+
+import rsa
+import rsa.cli
+
+if sys.version_info[0] < 3:
+    IOClass = BytesIO
+else:
+    IOClass = StringIO
+
+
+@contextmanager
+def captured_output():
+    """Captures output to stdout and stderr"""
+
+    new_out, new_err = IOClass(), IOClass()
+    old_out, old_err = sys.stdout, sys.stderr
+    try:
+        sys.stdout, sys.stderr = new_out, new_err
+        yield sys.stdout, sys.stderr
+    finally:
+        sys.stdout, sys.stderr = old_out, old_err
+
+
+@contextmanager
+def cli_args(*new_argv):
+    """Updates sys.argv[1:] for a single test."""
+
+    old_args = sys.argv[:]
+    sys.argv[1:] = [str(arg) for arg in new_argv]
+
+    try:
+        yield
+    finally:
+        sys.argv[1:] = old_args
+
+
+def cleanup_files(*filenames):
+    """Makes sure the files don't exist when the test runs, and deletes them afterward."""
+
+    def remove():
+        for fname in filenames:
+            if os.path.exists(fname):
+                os.unlink(fname)
+
+    def decorator(func):
+        @functools.wraps(func)
+        def wrapper(*args, **kwargs):
+            remove()
+            try:
+                return func(*args, **kwargs)
+            finally:
+                remove()
+
+        return wrapper
+
+    return decorator
+
+
+class AbstractCliTest(unittest.TestCase):
+    def assertExits(self, status_code, func, *args, **kwargs):
+        try:
+            func(*args, **kwargs)
+        except SystemExit as ex:
+            if status_code == ex.code:
+                return
+            self.fail('SystemExit() raised by %r, but exited with code %i, expected %i' % (
+                func, ex.code, status_code))
+        else:
+            self.fail('SystemExit() not raised by %r' % func)
+
+
+class KeygenTest(AbstractCliTest):
+    def test_keygen_no_args(self):
+        with cli_args():
+            self.assertExits(1, rsa.cli.keygen)
+
+    def test_keygen_priv_stdout(self):
+        with captured_output() as (out, err):
+            with cli_args(128):
+                rsa.cli.keygen()
+
+        lines = out.getvalue().splitlines()
+        self.assertEqual('-----BEGIN RSA PRIVATE KEY-----', lines[0])
+        self.assertEqual('-----END RSA PRIVATE KEY-----', lines[-1])
+
+        # The key size should be shown on stderr
+        self.assertTrue('128-bit key' in err.getvalue())
+
+    @cleanup_files('test_cli_privkey_out.pem')
+    def test_keygen_priv_out_pem(self):
+        with captured_output() as (out, err):
+            with cli_args('--out=test_cli_privkey_out.pem', '--form=PEM', 128):
+                rsa.cli.keygen()
+
+        # The key size should be shown on stderr
+        self.assertTrue('128-bit key' in err.getvalue())
+
+        # The output file should be shown on stderr
+        self.assertTrue('test_cli_privkey_out.pem' in err.getvalue())
+
+        # If we can load the file as PEM, it's good enough.
+        with open('test_cli_privkey_out.pem', 'rb') as pemfile:
+            rsa.PrivateKey.load_pkcs1(pemfile.read())
+
+    @cleanup_files('test_cli_privkey_out.der')
+    def test_keygen_priv_out_der(self):
+        with captured_output() as (out, err):
+            with cli_args('--out=test_cli_privkey_out.der', '--form=DER', 128):
+                rsa.cli.keygen()
+
+        # The key size should be shown on stderr
+        self.assertTrue('128-bit key' in err.getvalue())
+
+        # The output file should be shown on stderr
+        self.assertTrue('test_cli_privkey_out.der' in err.getvalue())
+
+        # If we can load the file as der, it's good enough.
+        with open('test_cli_privkey_out.der', 'rb') as derfile:
+            rsa.PrivateKey.load_pkcs1(derfile.read(), format='DER')
+
+    @cleanup_files('test_cli_privkey_out.pem', 'test_cli_pubkey_out.pem')
+    def test_keygen_pub_out_pem(self):
+        with captured_output() as (out, err):
+            with cli_args('--out=test_cli_privkey_out.pem',
+                          '--pubout=test_cli_pubkey_out.pem',
+                          '--form=PEM', 256):
+                rsa.cli.keygen()
+
+        # The key size should be shown on stderr
+        self.assertTrue('256-bit key' in err.getvalue())
+
+        # The output files should be shown on stderr
+        self.assertTrue('test_cli_privkey_out.pem' in err.getvalue())
+        self.assertTrue('test_cli_pubkey_out.pem' in err.getvalue())
+
+        # If we can load the file as PEM, it's good enough.
+        with open('test_cli_pubkey_out.pem', 'rb') as pemfile:
+            rsa.PublicKey.load_pkcs1(pemfile.read())