diff --git a/doc/source/whatsnew/v0.23.0.txt b/doc/source/whatsnew/v0.23.0.txt
index 6a48abb6c6592..a692d1e60fd24 100644
--- a/doc/source/whatsnew/v0.23.0.txt
+++ b/doc/source/whatsnew/v0.23.0.txt
@@ -325,7 +325,7 @@ Indexing
 - Bug in indexing non-scalar value from ``Series`` having non-unique ``Index`` will return value flattened (:issue:`17610`)
 - Bug in :func:`DatetimeIndex.insert` where inserting ``NaT`` into a timezone-aware index incorrectly raised (:issue:`16357`)
 - Bug in ``__setitem__`` when indexing a :class:`DataFrame` with a 2-d boolean ndarray (:issue:`18582`)
-
+- Bug in ``str.extractall`` when there were no matches empty :class:`Index` was returned instead of appropriate :class:`MultiIndex` (:issue:`19034`)
 
 I/O
 ^^^
diff --git a/pandas/core/strings.py b/pandas/core/strings.py
index fab4e77ce4467..3b7ec2ad8a508 100644
--- a/pandas/core/strings.py
+++ b/pandas/core/strings.py
@@ -794,12 +794,10 @@ def str_extractall(arr, pat, flags=0):
                 result_key = tuple(subject_key + (match_i, ))
                 index_list.append(result_key)
 
-    if 0 < len(index_list):
-        from pandas import MultiIndex
-        index = MultiIndex.from_tuples(
-            index_list, names=arr.index.names + ["match"])
-    else:
-        index = None
+    from pandas import MultiIndex
+    index = MultiIndex.from_tuples(
+        index_list, names=arr.index.names + ["match"])
+
     result = arr._constructor_expanddim(match_list, index=index,
                                         columns=columns)
     return result
diff --git a/pandas/tests/test_strings.py b/pandas/tests/test_strings.py
index 8aa69bcbfdf7f..973fe74429551 100644
--- a/pandas/tests/test_strings.py
+++ b/pandas/tests/test_strings.py
@@ -1072,28 +1072,50 @@ def test_extractall_single_group_with_quantifier(self):
         e = DataFrame(['ab', 'abc', 'd', 'cd'], i)
         tm.assert_frame_equal(r, e)
 
-    def test_extractall_no_matches(self):
-        s = Series(['a3', 'b3', 'd4c2'], name='series_name')
+    @pytest.mark.parametrize('data, names', [
+        ([], (None, )),
+        ([], ('i1', )),
+        ([], (None, 'i2')),
+        ([], ('i1', 'i2')),
+        (['a3', 'b3', 'd4c2'], (None, )),
+        (['a3', 'b3', 'd4c2'], ('i1', 'i2')),
+        (['a3', 'b3', 'd4c2'], (None, 'i2')),
+        (['a3', 'b3', 'd4c2'], ('i1', 'i2')),
+    ])
+    def test_extractall_no_matches(self, data, names):
+        # GH19075 extractall with no matches should return a valid MultiIndex
+        n = len(data)
+        if len(names) == 1:
+            i = Index(range(n), name=names[0])
+        else:
+            a = (tuple([i] * (n - 1)) for i in range(n))
+            i = MultiIndex.from_tuples(a, names=names)
+        s = Series(data, name='series_name', index=i, dtype='object')
+        ei = MultiIndex.from_tuples([], names=(names + ('match',)))
+
         # one un-named group.
         r = s.str.extractall('(z)')
-        e = DataFrame(columns=[0])
+        e = DataFrame(columns=[0], index=ei)
         tm.assert_frame_equal(r, e)
+
         # two un-named groups.
         r = s.str.extractall('(z)(z)')
-        e = DataFrame(columns=[0, 1])
+        e = DataFrame(columns=[0, 1], index=ei)
         tm.assert_frame_equal(r, e)
+
         # one named group.
         r = s.str.extractall('(?P<first>z)')
-        e = DataFrame(columns=["first"])
+        e = DataFrame(columns=["first"], index=ei)
         tm.assert_frame_equal(r, e)
+
         # two named groups.
         r = s.str.extractall('(?P<first>z)(?P<second>z)')
-        e = DataFrame(columns=["first", "second"])
+        e = DataFrame(columns=["first", "second"], index=ei)
         tm.assert_frame_equal(r, e)
+
         # one named, one un-named.
         r = s.str.extractall('(z)(?P<second>z)')
-        e = DataFrame(columns=[0,
-                               "second"])
+        e = DataFrame(columns=[0, "second"], index=ei)
         tm.assert_frame_equal(r, e)
 
     def test_extractall_stringindex(self):