diff --git a/doc/source/whatsnew/v0.24.0.txt b/doc/source/whatsnew/v0.24.0.txt
index 9b70bda82e247..b30b2c885be40 100644
--- a/doc/source/whatsnew/v0.24.0.txt
+++ b/doc/source/whatsnew/v0.24.0.txt
@@ -468,6 +468,7 @@ Other API Changes
 - :meth:`PeriodIndex.tz_convert` and :meth:`PeriodIndex.tz_localize` have been removed (:issue:`21781`)
 - :class:`Index` subtraction will attempt to operate element-wise instead of raising ``TypeError`` (:issue:`19369`)
 - :class:`pandas.io.formats.style.Styler` supports a ``number-format`` property when using :meth:`~pandas.io.formats.style.Styler.to_excel` (:issue:`22015`)
+- :meth:`DataFrame.corr` and :meth:`Series.corr` now raise a ``ValueError`` along with a helpful error message instead of a ``KeyError`` when supplied with an invalid method (:issue:`22298`)
 
 .. _whatsnew_0240.deprecations:
 
diff --git a/pandas/core/frame.py b/pandas/core/frame.py
index 700562386c838..42a6795935cdc 100644
--- a/pandas/core/frame.py
+++ b/pandas/core/frame.py
@@ -6658,7 +6658,7 @@ def corr(self, method='pearson', min_periods=1):
         elif method == 'spearman':
             correl = libalgos.nancorr_spearman(ensure_float64(mat),
                                                minp=min_periods)
-        else:
+        elif method == 'kendall':
             if min_periods is None:
                 min_periods = 1
             mat = ensure_float64(mat).T
@@ -6682,6 +6682,10 @@ def corr(self, method='pearson', min_periods=1):
                         c = corrf(ac, bc)
                     correl[i, j] = c
                     correl[j, i] = c
+        else:
+            raise ValueError("method must be either 'pearson', "
+                             "'spearman', or 'kendall', '{method}' "
+                             "was supplied".format(method=method))
 
         return self._constructor(correl, index=idx, columns=cols)
 
diff --git a/pandas/core/series.py b/pandas/core/series.py
index 4b4fccccda4a0..8bf87e0ede664 100644
--- a/pandas/core/series.py
+++ b/pandas/core/series.py
@@ -1931,8 +1931,14 @@ def corr(self, other, method='pearson', min_periods=None):
         this, other = self.align(other, join='inner', copy=False)
         if len(this) == 0:
             return np.nan
-        return nanops.nancorr(this.values, other.values, method=method,
-                              min_periods=min_periods)
+
+        if method in ['pearson', 'spearman', 'kendall']:
+            return nanops.nancorr(this.values, other.values, method=method,
+                                  min_periods=min_periods)
+
+        raise ValueError("method must be either 'pearson', "
+                         "'spearman', or 'kendall', '{method}' "
+                         "was supplied".format(method=method))
 
     def cov(self, other, min_periods=None):
         """
diff --git a/pandas/tests/frame/test_analytics.py b/pandas/tests/frame/test_analytics.py
index f72cf8cdaafe9..f06c8336373ca 100644
--- a/pandas/tests/frame/test_analytics.py
+++ b/pandas/tests/frame/test_analytics.py
@@ -130,6 +130,14 @@ def test_corr_cov_independent_index_column(self):
             assert result.index is not result.columns
             assert result.index.equals(result.columns)
 
+    def test_corr_invalid_method(self):
+        # GH PR #22298
+        df = pd.DataFrame(np.random.normal(size=(10, 2)))
+        msg = ("method must be either 'pearson', 'spearman', "
+               "or 'kendall'")
+        with tm.assert_raises_regex(ValueError, msg):
+            df.corr(method="____")
+
     def test_cov(self):
         # min_periods no NAs (corner case)
         expected = self.frame.cov()
diff --git a/pandas/tests/series/test_analytics.py b/pandas/tests/series/test_analytics.py
index 09e89115e120e..dccc12643a6ad 100644
--- a/pandas/tests/series/test_analytics.py
+++ b/pandas/tests/series/test_analytics.py
@@ -778,6 +778,15 @@ def test_corr_rank(self):
         tm.assert_almost_equal(A.corr(B, method='kendall'), kexp)
         tm.assert_almost_equal(A.corr(B, method='spearman'), sexp)
 
+    def test_corr_invalid_method(self):
+        # GH PR #22298
+        s1 = pd.Series(np.random.randn(10))
+        s2 = pd.Series(np.random.randn(10))
+        msg = ("method must be either 'pearson', 'spearman', "
+               "or 'kendall'")
+        with tm.assert_raises_regex(ValueError, msg):
+            s1.corr(s2, method="____")
+
     def test_cov(self):
         # full overlap
         tm.assert_almost_equal(self.ts.cov(self.ts), self.ts.std() ** 2)