diff --git a/doc/source/whatsnew/v1.3.0.rst b/doc/source/whatsnew/v1.3.0.rst
index 56a5412d4ecfc..fceca59f0f30d 100644
--- a/doc/source/whatsnew/v1.3.0.rst
+++ b/doc/source/whatsnew/v1.3.0.rst
@@ -369,6 +369,7 @@ Deprecations
 - Deprecated casting ``datetime.date`` objects to ``datetime64`` when used as ``fill_value`` in :meth:`DataFrame.unstack`, :meth:`DataFrame.shift`, :meth:`Series.shift`, and :meth:`DataFrame.reindex`, pass ``pd.Timestamp(dateobj)`` instead (:issue:`39767`)
 - Deprecated :meth:`.Styler.set_na_rep` and :meth:`.Styler.set_precision` in favour of :meth:`.Styler.format` with ``na_rep`` and ``precision`` as existing and new input arguments respectively (:issue:`40134`)
 - Deprecated allowing partial failure in :meth:`Series.transform` and :meth:`DataFrame.transform` when ``func`` is list-like or dict-like; will raise if any function fails on a column in a future version (:issue:`40211`)
+- Deprecated support for ``np.ma.mrecords.MaskedRecords`` in the :class:`DataFrame` constructor, pass ``{name: data[name] for name in data.dtype.names}`` instead (:issue:`40363`)
 
 .. ---------------------------------------------------------------------------
 
diff --git a/pandas/core/frame.py b/pandas/core/frame.py
index de28c04ca0793..2759301ac88c9 100644
--- a/pandas/core/frame.py
+++ b/pandas/core/frame.py
@@ -606,6 +606,13 @@ def __init__(
                     copy,
                     typ=manager,
                 )
+                warnings.warn(
+                    "Support for MaskedRecords is deprecated and will be "
+                    "removed in a future version.  Pass "
+                    "{name: data[name] for name in data.dtype.names} instead.",
+                    FutureWarning,
+                    stacklevel=2,
+                )
 
             # a masked array
             else:
diff --git a/pandas/tests/frame/test_constructors.py b/pandas/tests/frame/test_constructors.py
index 285d6286931af..b76a44b3c86be 100644
--- a/pandas/tests/frame/test_constructors.py
+++ b/pandas/tests/frame/test_constructors.py
@@ -993,10 +993,19 @@ def test_constructor_maskedrecarray_dtype(self):
             np.ma.zeros(5, dtype=[("date", "<f8"), ("price", "<f8")]), mask=[False] * 5
         )
         data = data.view(mrecords.mrecarray)
-        result = DataFrame(data, dtype=int)
+
+        with tm.assert_produces_warning(FutureWarning):
+            # Support for MaskedRecords deprecated
+            result = DataFrame(data, dtype=int)
+
         expected = DataFrame(np.zeros((5, 2), dtype=int), columns=["date", "price"])
         tm.assert_frame_equal(result, expected)
 
+        # GH#40363 check that the alternative suggested in the deprecation
+        #  warning behaves as expected
+        alt = DataFrame({name: data[name] for name in data.dtype.names}, dtype=int)
+        tm.assert_frame_equal(result, alt)
+
     def test_constructor_mrecarray(self):
         # Ensure mrecarray produces frame identical to dict of masked arrays
         # from GH3479
@@ -1024,18 +1033,24 @@ def test_constructor_mrecarray(self):
             # fill the comb
             comb = {k: (v.filled() if hasattr(v, "filled") else v) for k, v in comb}
 
+            with tm.assert_produces_warning(FutureWarning):
+                # Support for MaskedRecords deprecated
+                result = DataFrame(mrecs)
             expected = DataFrame(comb, columns=names)
-            result = DataFrame(mrecs)
             assert_fr_equal(result, expected)
 
             # specify columns
+            with tm.assert_produces_warning(FutureWarning):
+                # Support for MaskedRecords deprecated
+                result = DataFrame(mrecs, columns=names[::-1])
             expected = DataFrame(comb, columns=names[::-1])
-            result = DataFrame(mrecs, columns=names[::-1])
             assert_fr_equal(result, expected)
 
             # specify index
+            with tm.assert_produces_warning(FutureWarning):
+                # Support for MaskedRecords deprecated
+                result = DataFrame(mrecs, index=[1, 2])
             expected = DataFrame(comb, columns=names, index=[1, 2])
-            result = DataFrame(mrecs, index=[1, 2])
             assert_fr_equal(result, expected)
 
     def test_constructor_corner_shape(self):