diff --git a/doc/source/whatsnew/v0.24.0.txt b/doc/source/whatsnew/v0.24.0.txt
index 149d618c4a621..b122a24ee5450 100644
--- a/doc/source/whatsnew/v0.24.0.txt
+++ b/doc/source/whatsnew/v0.24.0.txt
@@ -1205,6 +1205,7 @@ Indexing
 ^^^^^^^^
 
 - The traceback from a ``KeyError`` when asking ``.loc`` for a single missing label is now shorter and more clear (:issue:`21557`)
+- :class:`PeriodIndex` now emits a ``KeyError`` when a malformed string is looked up, which is consistent with the behavior of :class:`DateTimeIndex` (:issue:`22803`)
 - When ``.ix`` is asked for a missing integer label in a :class:`MultiIndex` with a first level of integer type, it now raises a ``KeyError``, consistently with the case of a flat :class:`Int64Index`, rather than falling back to positional indexing (:issue:`21593`)
 - Bug in :meth:`DatetimeIndex.reindex` when reindexing a tz-naive and tz-aware :class:`DatetimeIndex` (:issue:`8306`)
 - Bug in :meth:`Series.reindex` when reindexing an empty series with a ``datetime64[ns, tz]`` dtype (:issue:`20869`)
diff --git a/pandas/core/indexes/period.py b/pandas/core/indexes/period.py
index 92ffaea521d7f..21e84629b4d3b 100644
--- a/pandas/core/indexes/period.py
+++ b/pandas/core/indexes/period.py
@@ -20,7 +20,7 @@
 from pandas.core.indexes.datetimelike import (
     DatelikeOps, DatetimeIndexOpsMixin, wrap_arithmetic_op
 )
-from pandas.core.tools.datetimes import parse_time_string
+from pandas.core.tools.datetimes import parse_time_string, DateParseError
 
 from pandas._libs import tslib, index as libindex
 from pandas._libs.tslibs.period import (Period, IncompatibleFrequency,
@@ -580,7 +580,10 @@ def searchsorted(self, value, side='left', sorter=None):
                 raise IncompatibleFrequency(msg)
             value = value.ordinal
         elif isinstance(value, compat.string_types):
-            value = Period(value, freq=self.freq).ordinal
+            try:
+                value = Period(value, freq=self.freq).ordinal
+            except DateParseError:
+                raise KeyError("Cannot interpret '{}' as period".format(value))
 
         return self._ndarray_values.searchsorted(value, side=side,
                                                  sorter=sorter)
@@ -711,6 +714,9 @@ def get_loc(self, key, method=None, tolerance=None):
                 key = asdt
             except TypeError:
                 pass
+            except DateParseError:
+                # A string with invalid format
+                raise KeyError("Cannot interpret '{}' as period".format(key))
 
             try:
                 key = Period(key, freq=self.freq)
diff --git a/pandas/tests/indexes/period/test_indexing.py b/pandas/tests/indexes/period/test_indexing.py
index fafba144bb148..880e37c59c9c4 100644
--- a/pandas/tests/indexes/period/test_indexing.py
+++ b/pandas/tests/indexes/period/test_indexing.py
@@ -3,7 +3,6 @@
 import numpy as np
 import pytest
 
-from pandas._libs import tslibs
 from pandas._libs.tslibs import period as libperiod
 from pandas.compat import lrange
 
@@ -363,7 +362,9 @@ def test_get_loc(self):
         assert idx0.get_loc(p2) == expected_idx1_p2
         assert idx0.get_loc(str(p2)) == expected_idx1_p2
 
-        pytest.raises(tslibs.parsing.DateParseError, idx0.get_loc, 'foo')
+        tm.assert_raises_regex(KeyError,
+                               "Cannot interpret 'foo' as period",
+                               idx0.get_loc, 'foo')
         pytest.raises(KeyError, idx0.get_loc, 1.1)
         pytest.raises(TypeError, idx0.get_loc, idx0)
 
@@ -378,7 +379,9 @@ def test_get_loc(self):
         assert idx1.get_loc(p2) == expected_idx1_p2
         assert idx1.get_loc(str(p2)) == expected_idx1_p2
 
-        pytest.raises(tslibs.parsing.DateParseError, idx1.get_loc, 'foo')
+        tm.assert_raises_regex(KeyError,
+                               "Cannot interpret 'foo' as period",
+                               idx1.get_loc, 'foo')
         pytest.raises(KeyError, idx1.get_loc, 1.1)
         pytest.raises(TypeError, idx1.get_loc, idx1)