diff --git a/doc/source/whatsnew/v1.4.0.rst b/doc/source/whatsnew/v1.4.0.rst
index fa9c424351b00..3ac3852f17074 100644
--- a/doc/source/whatsnew/v1.4.0.rst
+++ b/doc/source/whatsnew/v1.4.0.rst
@@ -239,6 +239,7 @@ Indexing
 - Bug in updating values of :class:`pandas.Series` using boolean index, created by using :meth:`pandas.DataFrame.pop` (:issue:`42530`)
 - Bug in :meth:`Index.get_indexer_non_unique` when index contains multiple ``np.nan`` (:issue:`35392`)
 - Bug in :meth:`DataFrame.query` did not handle the degree sign in a backticked column name, such as \`Temp(°C)\`, used in an expression to query a dataframe (:issue:`42826`)
+- Bug in :meth:`DataFrame.drop` where the error message did not show missing labels with commas when raising ``KeyError`` (:issue:`42881`)
 -
 
 Missing
diff --git a/pandas/core/indexes/base.py b/pandas/core/indexes/base.py
index 87c50e94deb34..bf03835611aa9 100644
--- a/pandas/core/indexes/base.py
+++ b/pandas/core/indexes/base.py
@@ -6247,7 +6247,7 @@ def drop(self, labels, errors: str_t = "raise") -> Index:
         mask = indexer == -1
         if mask.any():
             if errors != "ignore":
-                raise KeyError(f"{labels[mask]} not found in axis")
+                raise KeyError(f"{list(labels[mask])} not found in axis")
             indexer = indexer[~mask]
         return self.delete(indexer)
 
diff --git a/pandas/tests/frame/methods/test_drop.py b/pandas/tests/frame/methods/test_drop.py
index fa658d87c3ca0..1e2ce38a2fefd 100644
--- a/pandas/tests/frame/methods/test_drop.py
+++ b/pandas/tests/frame/methods/test_drop.py
@@ -130,6 +130,10 @@ def test_drop(self):
         with pytest.raises(KeyError, match=r"\['C'\] not found in axis"):
             simple.drop(["A", "C"], axis=1)
 
+        # GH 42881
+        with pytest.raises(KeyError, match=r"\['C', 'D', 'F'\] not found in axis"):
+            simple.drop(["C", "D", "F"], axis=1)
+
         # errors = 'ignore'
         tm.assert_frame_equal(simple.drop(5, errors="ignore"), simple)
         tm.assert_frame_equal(