diff --git a/doc/source/whatsnew/v0.25.0.rst b/doc/source/whatsnew/v0.25.0.rst
index 94f8fd16ea85a..30e38e259cde9 100644
--- a/doc/source/whatsnew/v0.25.0.rst
+++ b/doc/source/whatsnew/v0.25.0.rst
@@ -353,6 +353,7 @@ I/O
 - Bug in :meth:`DataFrame.to_string` and :meth:`DataFrame.to_latex` that would lead to incorrect output when the ``header`` keyword is used (:issue:`16718`)
 - Bug in :func:`read_csv` not properly interpreting the UTF8 encoded filenames on Windows on Python 3.6+ (:issue:`15086`)
 - Improved performance in :meth:`pandas.read_stata` and :class:`pandas.io.stata.StataReader` when converting columns that have missing values (:issue:`25772`)
+- Bug in :func:`read_hdf` not properly closing store after a ``KeyError`` is raised (:issue:`25766`)
 - Bug in ``read_csv`` which would not raise ``ValueError`` if a column index in ``usecols`` was out of bounds (:issue:`25623`)
 
 Plotting
diff --git a/pandas/io/pytables.py b/pandas/io/pytables.py
index 42e146ae81839..2dedeaf0a4cda 100644
--- a/pandas/io/pytables.py
+++ b/pandas/io/pytables.py
@@ -375,7 +375,7 @@ def read_hdf(path_or_buf, key=None, mode='r', **kwargs):
                                      'contains multiple datasets.')
             key = candidate_only_group._v_pathname
         return store.select(key, auto_close=auto_close, **kwargs)
-    except (ValueError, TypeError):
+    except (ValueError, TypeError, KeyError):
         # if there is an error, close the store
         try:
             store.close()
diff --git a/pandas/tests/io/test_pytables.py b/pandas/tests/io/test_pytables.py
index 679a24d374115..e45ca1afdcef9 100644
--- a/pandas/tests/io/test_pytables.py
+++ b/pandas/tests/io/test_pytables.py
@@ -1233,6 +1233,19 @@ def test_append_all_nans(self):
             reloaded = read_hdf(path, 'df_with_missing')
             tm.assert_frame_equal(df_with_missing, reloaded)
 
+    def test_read_missing_key_close_store(self):
+        # GH 25766
+        with ensure_clean_path(self.path) as path:
+            df = pd.DataFrame({'a': range(2), 'b': range(2)})
+            df.to_hdf(path, 'k1')
+
+            with pytest.raises(KeyError):
+                pd.read_hdf(path, 'k2')
+
+            # smoke test to test that file is properly closed after
+            # read with KeyError before another write
+            df.to_hdf(path, 'k2')
+
     def test_append_frame_column_oriented(self):
 
         with ensure_clean_store(self.path) as store: