BUG: Improved error msg

doc/source/whatsnew/v1.1.0.rst

@@ -304,6 +304,7 @@ Indexing
 - Bug in :meth:`DataFrame.iloc.__setitem__` on a :class:`DataFrame` with duplicate columns incorrectly setting values for all matching columns (:issue:`15686`, :issue:`22036`)
 - Bug in :meth:`DataFrame.loc:` and :meth:`Series.loc` with a :class:`DatetimeIndex`, :class:`TimedeltaIndex`, or :class:`PeriodIndex` incorrectly allowing lookups of non-matching datetime-like dtypes (:issue:`32650`)
 - Bug in :meth:`Series.__getitem__` indexing with non-standard scalars, e.g. ``np.dtype`` (:issue:`32684`)
+- Calling :meth:`DataFrame.at` on a DataFrame with a MultiIndex raises an exception with a more informative message (:issue:`9259`)
 
 Missing
 ^^^^^^^

pandas/core/indexing.py

@@ -2022,16 +2022,25 @@ def _convert_key(self, key, is_setter: bool = False):
         raise AbstractMethodError(self)
 
     def __getitem__(self, key):
-        if not isinstance(key, tuple):
+        try:
+            if not isinstance(key, tuple):
 
-            # we could have a convertible item here (e.g. Timestamp)
-            if not is_list_like_indexer(key):
-                key = tuple([key])
-            else:
-                raise ValueError("Invalid call for scalar access (getting)!")
+                # we could have a convertible item here (e.g. Timestamp)
+                if not is_list_like_indexer(key):
+                    key = tuple([key])
+                else:
+                    raise ValueError("Invalid call for scalar access (getting)!")
 
-        key = self._convert_key(key)
-        return self.obj._get_value(*key, takeable=self._takeable)
+            key = self._convert_key(key)
+            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"
+                ) from err
+            else:
+                raise
 
     def __setitem__(self, key, value):
         if isinstance(key, tuple):

pandas/tests/indexes/multi/test_get_set.py

@@ -413,3 +413,23 @@ 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(5)]
+    cols.extend([("b_col", chr(i + 65)) for i in range(5, 10)])
+    idx = [("a_row", chr(i + 65)) for i in range(5)]
+    idx.extend([("b_row", chr(i + 65)) for i in range(5, 10)])
+    df = pd.DataFrame(
+        np.linspace(1, 100, 100).reshape(10, 10),
+        index=pd.MultiIndex.from_tuples(idx),
+        columns=pd.MultiIndex.from_tuples(cols),
+    )
+    s = pd.Series(np.linspace(1, 91, 10), index=pd.MultiIndex.from_tuples(idx))
+
+    with pytest.raises(KeyError, match=r".+? indexing with .+? failing for MultiIndex"):
+        df.at["a_row", "A"]
+
+    with pytest.raises(TypeError, match=r".+? got multiple values for argument .+?"):
+        s.at["a_row", "A"]