diff --git a/doc/source/whatsnew/v1.2.4.rst b/doc/source/whatsnew/v1.2.4.rst
index 26d768f830830..59fae178b3214 100644
--- a/doc/source/whatsnew/v1.2.4.rst
+++ b/doc/source/whatsnew/v1.2.4.rst
@@ -19,6 +19,7 @@ Fixed regressions
 - Fixed regression in :meth:`DataFrame.to_json` raising ``AttributeError`` when run on PyPy (:issue:`39837`)
 - Fixed regression in :meth:`DataFrame.where` not returning a copy in the case of an all True condition (:issue:`39595`)
 - Fixed regression in :meth:`DataFrame.replace` raising ``IndexError`` when ``regex`` was a multi-key dictionary (:issue:`39338`)
+- Fixed regression in :meth:`Series.replace` and :meth:`DataFrame.replace` not replacing missing values for :class:`CategoricalDtype` (:issue:`40472`)
 -
 
 .. ---------------------------------------------------------------------------
diff --git a/pandas/core/arrays/categorical.py b/pandas/core/arrays/categorical.py
index 08646c4d25a50..3b92e0ead799e 100644
--- a/pandas/core/arrays/categorical.py
+++ b/pandas/core/arrays/categorical.py
@@ -2350,7 +2350,7 @@ def replace(self, to_replace, value, inplace: bool = False):
         # other cases, like if both to_replace and value are list-like or if
         # to_replace is a dict, are handled separately in NDFrame
         for replace_value, new_value in replace_dict.items():
-            if new_value == replace_value:
+            if new_value == replace_value or (isna(replace_value) and isna(new_value)):
                 continue
             if replace_value in cat.categories:
                 if isna(new_value):
@@ -2365,6 +2365,18 @@ def replace(self, to_replace, value, inplace: bool = False):
                 else:
                     categories[index] = new_value
                     cat.rename_categories(categories, inplace=True)
+
+            # GH-40472: make sure missing values can also be replaced
+            elif isna(replace_value) and (cat._codes == -1).any():
+                if new_value in cat.categories:
+                    categories = cat.categories.tolist()
+                    value_index = categories.index(new_value)
+                else:
+                    cat.add_categories(new_value, inplace=True)
+                    value_index = len(cat.categories) - 1
+
+                cat._codes[cat._codes == -1] = value_index
+
         if not inplace:
             return cat
 
diff --git a/pandas/tests/frame/methods/test_replace.py b/pandas/tests/frame/methods/test_replace.py
index d8f93f047e74b..aa5815cd4b7da 100644
--- a/pandas/tests/frame/methods/test_replace.py
+++ b/pandas/tests/frame/methods/test_replace.py
@@ -1652,6 +1652,19 @@ def test_replace_dict_category_type(self, input_category_df, expected_category_d
 
         tm.assert_frame_equal(result, expected)
 
+    # Replace with an existing category and one which will add a new category
+    @pytest.mark.parametrize("new_value", ["c", "b"])
+    def test_replace_categorical_missing_vals(
+        self, frame_or_series, unique_nulls_fixture, new_value
+    ):
+        # GH-40472
+        obj = frame_or_series([unique_nulls_fixture, "b"], dtype="category")
+
+        result = obj.replace({unique_nulls_fixture: new_value})
+        expected = frame_or_series([new_value, "b"], dtype="category")
+
+        tm.assert_equal(result, expected)
+
     def test_replace_with_compiled_regex(self):
         # https://github.com/pandas-dev/pandas/issues/35680
         df = DataFrame(["a", "b", "c"])