diff --git a/pandas/tests/indexing/test_at.py b/pandas/tests/indexing/test_at.py
index c721ba2e6daad..fbf33999386e6 100644
--- a/pandas/tests/indexing/test_at.py
+++ b/pandas/tests/indexing/test_at.py
@@ -3,7 +3,7 @@
 import numpy as np
 import pytest
 
-from pandas import DataFrame, Series, Timestamp
+from pandas import CategoricalDtype, DataFrame, Series, Timestamp
 import pandas._testing as tm
 
 
@@ -26,6 +26,23 @@ def test_at_setitem_mixed_index_assignment(self):
         ser.at[1] = 22
         assert ser.iat[3] == 22
 
+    def test_at_setitem_categorical_missing(self):
+        df = DataFrame(
+            index=range(3), columns=range(3), dtype=CategoricalDtype(["foo", "bar"])
+        )
+        df.at[1, 1] = "foo"
+
+        expected = DataFrame(
+            [
+                [np.nan, np.nan, np.nan],
+                [np.nan, "foo", np.nan],
+                [np.nan, np.nan, np.nan],
+            ],
+            dtype=CategoricalDtype(["foo", "bar"]),
+        )
+
+        tm.assert_frame_equal(df, expected)
+
 
 class TestAtSetItemWithExpansion:
     def test_at_setitem_expansion_series_dt64tz_value(self, tz_naive_fixture):