diff --git a/doc/source/whatsnew/v1.2.0.rst b/doc/source/whatsnew/v1.2.0.rst
index 09cb024cbd95c..fcc89715a832c 100644
--- a/doc/source/whatsnew/v1.2.0.rst
+++ b/doc/source/whatsnew/v1.2.0.rst
@@ -477,6 +477,7 @@ Indexing
 - Bug in :meth:`DataFrame.loc` returned requested key plus missing values when ``loc`` was applied to single level from :class:`MultiIndex` (:issue:`27104`)
 - Bug in indexing on a :class:`Series` or :class:`DataFrame` with a :class:`CategoricalIndex` using a listlike indexer containing NA values (:issue:`37722`)
 - Bug in :meth:`DataFrame.xs` ignored ``droplevel=False`` for columns (:issue:`19056`)
+- Bug in :meth:`DataFrame.loc` and :meth:`Series.loc` did not raise ``KeyError`` when non-existing label was sliced in unordered :class:`DatetimeIndex` (:issue:`18531`)
 
 Missing
 ^^^^^^^
diff --git a/pandas/core/indexes/datetimes.py b/pandas/core/indexes/datetimes.py
index 9744eb0ecbb88..288d49128b87a 100644
--- a/pandas/core/indexes/datetimes.py
+++ b/pandas/core/indexes/datetimes.py
@@ -810,7 +810,8 @@ def slice_indexer(self, start=None, end=None, step=None, kind=None):
                 if end is not None:
                     end_casted = self._maybe_cast_slice_bound(end, "right", kind)
                     mask = (self <= end_casted) & mask
-
+                if not any(mask):
+                    raise
                 indexer = mask.nonzero()[0][::step]
                 if len(indexer) == len(self):
                     return slice(None)
diff --git a/pandas/tests/indexes/datetimes/test_partial_slicing.py b/pandas/tests/indexes/datetimes/test_partial_slicing.py
index 57dc46e1fb415..65fb8e84a67a3 100644
--- a/pandas/tests/indexes/datetimes/test_partial_slicing.py
+++ b/pandas/tests/indexes/datetimes/test_partial_slicing.py
@@ -311,19 +311,22 @@ def test_partial_slicing_with_multiindex(self):
         tm.assert_frame_equal(result, expected)
 
     def test_partial_slice_doesnt_require_monotonicity(self):
-        # For historical reasons.
-        s = Series(np.arange(10), date_range("2014-01-01", periods=10))
+        ser = Series(np.arange(10), date_range("2014-01-01", periods=10))
 
-        nonmonotonic = s[[3, 5, 4]]
-        expected = nonmonotonic.iloc[:0]
+        nonmonotonic = ser[[3, 5, 4]]
         timestamp = Timestamp("2014-01-10")
+        msg = r"Timestamp\('2014-01-10 00:00:00'\)"
 
-        tm.assert_series_equal(nonmonotonic["2014-01-10":], expected)
-        with pytest.raises(KeyError, match=r"Timestamp\('2014-01-10 00:00:00'\)"):
+        with pytest.raises(KeyError, match=msg):
+            nonmonotonic["2014-01-10":]
+
+        with pytest.raises(KeyError, match=msg):
             nonmonotonic[timestamp:]
 
-        tm.assert_series_equal(nonmonotonic.loc["2014-01-10":], expected)
-        with pytest.raises(KeyError, match=r"Timestamp\('2014-01-10 00:00:00'\)"):
+        with pytest.raises(KeyError, match=msg):
+            nonmonotonic.loc["2014-01-10":]
+
+        with pytest.raises(KeyError, match=msg):
             nonmonotonic.loc[timestamp:]
 
     def test_loc_datetime_length_one(self):
diff --git a/pandas/tests/indexing/test_loc.py b/pandas/tests/indexing/test_loc.py
index 9aab867df4b17..060e13d0ce8ea 100644
--- a/pandas/tests/indexing/test_loc.py
+++ b/pandas/tests/indexing/test_loc.py
@@ -1564,6 +1564,23 @@ def test_loc_getitem_slice_label_td64obj(self, start, stop, expected_slice):
         expected = ser.iloc[expected_slice]
         tm.assert_series_equal(result, expected)
 
+    def test_loc_getitem_slice_unordered_dt_index(self, frame_or_series):
+        # GH#18531
+        obj = frame_or_series(
+            [1, 2, 3],
+            index=[Timestamp("2016"), Timestamp("2019"), Timestamp("2017")],
+        )
+        with pytest.raises(KeyError, match=r"Timestamp\('2020-01-01 00:00:00'\)"):
+            obj.loc["2020":"2022"]
+
+        result = obj.loc["2018":"2022"]
+        expected = frame_or_series([2], index=[Timestamp("2019")])
+        tm.assert_equal(result, expected)
+
+        obj.index = ["a", "c", "b"]
+        with pytest.raises(KeyError, match=r"d"):
+            obj.loc["d":"e"]
+
 
 class TestLocBooleanMask:
     def test_loc_setitem_bool_mask_timedeltaindex(self):