PGF preamble

import matplotlib as mpl

mpl.use("pgf")
import matplotlib.pyplot as plt

plt.rcParams.update({
    "font.family": "serif",  # use serif/main font for text elements
    "text.usetex": True,     # use inline math for ticks
    "pgf.rcfonts": False,    # don't setup fonts from rc parameters
    "pgf.preamble": "\n".join([
         r"\usepackage{url}",            # load additional packages
         r"\usepackage{unicode-math}",   # unicode math setup
         r"\setmainfont{DejaVu Serif}",  # serif font via preamble
    ])
})

fig, ax = plt.subplots(figsize=(4.5, 2.5))

ax.plot(range(5))

ax.set_xlabel("unicode text: я, ψ, €, ü")
ax.set_ylabel(r"\url{https://matplotlib.org}")
ax.legend(["unicode math: $λ=∑_i^∞ μ_i^2$"])

fig.tight_layout(pad=.5)

fig.savefig("pgf_preamble.pdf")
fig.savefig("pgf_preamble.png")