diff --git a/doc/source/whatsnew/v1.3.0.rst b/doc/source/whatsnew/v1.3.0.rst
index 414794dd6a56e..2129025b2c071 100644
--- a/doc/source/whatsnew/v1.3.0.rst
+++ b/doc/source/whatsnew/v1.3.0.rst
@@ -1014,6 +1014,7 @@ Indexing
 - Bug in :meth:`DataFrame.loc.__setitem__` when setting-with-expansion incorrectly raising when the index in the expanding axis contained duplicates (:issue:`40096`)
 - Bug in :meth:`DataFrame.loc.__getitem__` with :class:`MultiIndex` casting to float when at least one index column has float dtype and we retrieve a scalar (:issue:`41369`)
 - Bug in :meth:`DataFrame.loc` incorrectly matching non-Boolean index elements (:issue:`20432`)
+- Bug in indexing with ``np.nan`` on a :class:`Series` or :class:`DataFrame` with a :class:`CategoricalIndex` incorrectly raising ``KeyError`` when ``np.nan`` keys are present (:issue:`41933`)
 - Bug in :meth:`Series.__delitem__` with ``ExtensionDtype`` incorrectly casting to ``ndarray`` (:issue:`40386`)
 - Bug in :meth:`DataFrame.loc` returning a :class:`MultiIndex` in the wrong order if an indexer has duplicates (:issue:`40978`)
 - Bug in :meth:`DataFrame.__setitem__` raising a ``TypeError`` when using a ``str`` subclass as the column name with a :class:`DatetimeIndex` (:issue:`37366`)
diff --git a/pandas/core/indexes/category.py b/pandas/core/indexes/category.py
index 228f58d47b8ed..1bda05f3ce5df 100644
--- a/pandas/core/indexes/category.py
+++ b/pandas/core/indexes/category.py
@@ -483,7 +483,14 @@ def _reindex_non_unique(  # type: ignore[override]
     # Indexing Methods
 
     def _maybe_cast_indexer(self, key) -> int:
-        return self._data._unbox_scalar(key)
+        # GH#41933: we have to do this instead of self._data._validate_scalar
+        #  because this will correctly get partial-indexing on Interval categories
+        try:
+            return self._data._unbox_scalar(key)
+        except KeyError:
+            if is_valid_na_for_dtype(key, self.categories.dtype):
+                return -1
+            raise
 
     def _get_indexer(
         self,
diff --git a/pandas/tests/indexes/categorical/test_indexing.py b/pandas/tests/indexes/categorical/test_indexing.py
index 0e0849fdb8dcf..b4a42cf137495 100644
--- a/pandas/tests/indexes/categorical/test_indexing.py
+++ b/pandas/tests/indexes/categorical/test_indexing.py
@@ -198,6 +198,13 @@ def test_get_loc_nonmonotonic_nonunique(self):
         expected = np.array([False, True, False, True], dtype=bool)
         tm.assert_numpy_array_equal(result, expected)
 
+    def test_get_loc_nan(self):
+        # GH#41933
+        ci = CategoricalIndex(["A", "B", np.nan])
+        res = ci.get_loc(np.nan)
+
+        assert res == 2
+
 
 class TestGetIndexer:
     def test_get_indexer_base(self):
diff --git a/pandas/tests/indexing/test_categorical.py b/pandas/tests/indexing/test_categorical.py
index cd49620f45fae..23f7192724540 100644
--- a/pandas/tests/indexing/test_categorical.py
+++ b/pandas/tests/indexing/test_categorical.py
@@ -540,3 +540,16 @@ def test_loc_getitem_with_non_string_categories(self, idx_values, ordered):
         result.loc[sl, "A"] = ["qux", "qux2"]
         expected = DataFrame({"A": ["qux", "qux2", "baz"]}, index=cat_idx)
         tm.assert_frame_equal(result, expected)
+
+    def test_getitem_categorical_with_nan(self):
+        # GH#41933
+        ci = CategoricalIndex(["A", "B", np.nan])
+
+        ser = Series(range(3), index=ci)
+
+        assert ser[np.nan] == 2
+        assert ser.loc[np.nan] == 2
+
+        df = DataFrame(ser)
+        assert df.loc[np.nan, 0] == 2
+        assert df.loc[np.nan][0] == 2