diff --git a/doc/source/whatsnew/v1.1.0.rst b/doc/source/whatsnew/v1.1.0.rst
index 88bf0e005a221..23ec28d6f5818 100644
--- a/doc/source/whatsnew/v1.1.0.rst
+++ b/doc/source/whatsnew/v1.1.0.rst
@@ -843,6 +843,7 @@ Indexing
 - Bug in :meth:`DataFrame.truncate` and :meth:`Series.truncate` where index was assumed to be monotone increasing (:issue:`33756`)
 - Indexing with a list of strings representing datetimes failed on :class:`DatetimeIndex` or :class:`PeriodIndex`(:issue:`11278`)
 - Bug in :meth:`Series.at` when used with a :class:`MultiIndex` would raise an exception on valid inputs (:issue:`26989`)
+- Calling :meth:`DataFrame.at` on a DataFrame with a MultiIndex raises an exception with a more informative message (:issue:`9259`)
 
 Missing
 ^^^^^^^
diff --git a/pandas/core/indexing.py b/pandas/core/indexing.py
index 3a146bb0438c5..e5871e7e00807 100644
--- a/pandas/core/indexing.py
+++ b/pandas/core/indexing.py
@@ -2005,7 +2005,16 @@ def __getitem__(self, key):
                 raise ValueError("Invalid call for scalar access (getting)!")
 
         key = self._convert_key(key)
-        return self.obj._get_value(*key, takeable=self._takeable)
+        try:
+            return self.obj._get_value(*key, takeable=self._takeable)
+        except KeyError as err:
+            if isinstance(self.obj.index, ABCMultiIndex):
+                raise KeyError(
+                    f"Detected KeyError {err}, indexing with {key} "
+                    "failing for MultiIndex"
+                )
+            else:
+                raise
 
     def __setitem__(self, key, value):
         if isinstance(key, tuple):
diff --git a/pandas/tests/indexes/multi/test_get_set.py b/pandas/tests/indexes/multi/test_get_set.py
index 8a3deca0236e4..9ca3fbc615e8d 100644
--- a/pandas/tests/indexes/multi/test_get_set.py
+++ b/pandas/tests/indexes/multi/test_get_set.py
@@ -329,3 +329,17 @@ def test_set_levels_with_iterable():
         [expected_sizes, colors], names=["size", "color"]
     )
     tm.assert_index_equal(result, expected)
+
+
+def test_at_indexing_fails_multiindex():
+    # GH9259
+    cols = [("a_col", chr(i + 65)) for i in range(2)]
+    idx = [("a_row", chr(i + 65)) for i in range(2)]
+    df = pd.DataFrame(
+        np.linspace(1, 4, 4).reshape(2, 2),
+        index=pd.MultiIndex.from_tuples(idx),
+        columns=pd.MultiIndex.from_tuples(cols),
+    )
+
+    with pytest.raises(KeyError, match=r".+? indexing with .+? failing for MultiIndex"):
+        df.at["a_row", "A"]