diff --git a/doc/source/whatsnew/v1.2.0.rst b/doc/source/whatsnew/v1.2.0.rst
index bc5229d4b4296..f59155c595af4 100644
--- a/doc/source/whatsnew/v1.2.0.rst
+++ b/doc/source/whatsnew/v1.2.0.rst
@@ -518,6 +518,8 @@ Categorical
 - :meth:`Categorical.fillna` will always return a copy, will validate a passed fill value regardless of whether there are any NAs to fill, and will disallow a ``NaT`` as a fill value for numeric categories (:issue:`36530`)
 - Bug in :meth:`Categorical.__setitem__` that incorrectly raised when trying to set a tuple value (:issue:`20439`)
 - Bug in :meth:`CategoricalIndex.equals` incorrectly casting non-category entries to ``np.nan`` (:issue:`37667`)
+- Bug in :meth:`CatgoricalIndex.where` incorrectly setting non-category entries to ``np.nan`` instead of raising ``TypeError`` (:issue:`37977`)
+-
 
 Datetimelike
 ^^^^^^^^^^^^
diff --git a/pandas/core/arrays/_mixins.py b/pandas/core/arrays/_mixins.py
index b40531bd42af8..5cc6525dc3c9b 100644
--- a/pandas/core/arrays/_mixins.py
+++ b/pandas/core/arrays/_mixins.py
@@ -321,3 +321,22 @@ def putmask(self, mask, value):
         value = self._validate_setitem_value(value)
 
         np.putmask(self._ndarray, mask, value)
+
+    def where(self, mask, value):
+        """
+        Analogue to np.where(mask, self, value)
+
+        Parameters
+        ----------
+        mask : np.ndarray[bool]
+        value : scalar or listlike
+
+        Raises
+        ------
+        TypeError
+            If value cannot be cast to self.dtype.
+        """
+        value = self._validate_setitem_value(value)
+
+        res_values = np.where(mask, self._ndarray, value)
+        return self._from_backing_data(res_values)
diff --git a/pandas/core/indexes/category.py b/pandas/core/indexes/category.py
index 413c8f6b45275..e2507aeaeb652 100644
--- a/pandas/core/indexes/category.py
+++ b/pandas/core/indexes/category.py
@@ -403,18 +403,6 @@ def _to_safe_for_reshape(self):
         """ convert to object if we are a categorical """
         return self.astype("object")
 
-    @doc(Index.where)
-    def where(self, cond, other=None):
-        # TODO: Investigate an alternative implementation with
-        # 1. copy the underlying Categorical
-        # 2. setitem with `cond` and `other`
-        # 3. Rebuild CategoricalIndex.
-        if other is None:
-            other = self._na_value
-        values = np.where(cond, self._values, other)
-        cat = Categorical(values, dtype=self.dtype)
-        return type(self)._simple_new(cat, name=self.name)
-
     def reindex(self, target, method=None, level=None, limit=None, tolerance=None):
         """
         Create index with target's values (move/add/delete values as necessary)
diff --git a/pandas/core/indexes/datetimelike.py b/pandas/core/indexes/datetimelike.py
index bca6661f54900..40e27709df841 100644
--- a/pandas/core/indexes/datetimelike.py
+++ b/pandas/core/indexes/datetimelike.py
@@ -529,14 +529,6 @@ def isin(self, values, level=None):
 
         return algorithms.isin(self.asi8, values.asi8)
 
-    @Appender(Index.where.__doc__)
-    def where(self, cond, other=None):
-        other = self._data._validate_setitem_value(other)
-
-        result = np.where(cond, self._data._ndarray, other)
-        arr = self._data._from_backing_data(result)
-        return type(self)._simple_new(arr, name=self.name)
-
     def shift(self, periods=1, freq=None):
         """
         Shift index by desired number of time frequency increments.
diff --git a/pandas/core/indexes/extension.py b/pandas/core/indexes/extension.py
index 0aa4b7732c048..6c35b882b5d67 100644
--- a/pandas/core/indexes/extension.py
+++ b/pandas/core/indexes/extension.py
@@ -378,6 +378,11 @@ def insert(self, loc: int, item):
         new_arr = arr._from_backing_data(new_vals)
         return type(self)._simple_new(new_arr, name=self.name)
 
+    @doc(Index.where)
+    def where(self, cond, other=None):
+        res_values = self._data.where(cond, other)
+        return type(self)._simple_new(res_values, name=self.name)
+
     def putmask(self, mask, value):
         res_values = self._data.copy()
         try:
diff --git a/pandas/tests/indexes/categorical/test_indexing.py b/pandas/tests/indexes/categorical/test_indexing.py
index cf9360821d37f..617ffdb48b3b7 100644
--- a/pandas/tests/indexes/categorical/test_indexing.py
+++ b/pandas/tests/indexes/categorical/test_indexing.py
@@ -290,6 +290,18 @@ def test_where(self, klass):
         result = i.where(klass(cond))
         tm.assert_index_equal(result, expected)
 
+    def test_where_non_categories(self):
+        ci = CategoricalIndex(["a", "b", "c", "d"])
+        mask = np.array([True, False, True, False])
+
+        msg = "Cannot setitem on a Categorical with a new category"
+        with pytest.raises(ValueError, match=msg):
+            ci.where(mask, 2)
+
+        with pytest.raises(ValueError, match=msg):
+            # Test the Categorical method directly
+            ci._data.where(mask, 2)
+
 
 class TestContains:
     def test_contains(self):