diff --git a/doc/source/whatsnew/v1.4.0.rst b/doc/source/whatsnew/v1.4.0.rst
index 7b9997e8f0bd6..328499a4ae98e 100644
--- a/doc/source/whatsnew/v1.4.0.rst
+++ b/doc/source/whatsnew/v1.4.0.rst
@@ -107,6 +107,7 @@ Other enhancements
 - :meth:`DataFrame.to_stata` and :meth:`StataWriter` now accept the keyword only argument ``value_labels`` to save labels for non-categorical columns
 - Methods that relied on hashmap based algos such as :meth:`DataFrameGroupBy.value_counts`, :meth:`DataFrameGroupBy.count` and :func:`factorize` ignored imaginary component for complex numbers (:issue:`17927`)
 - Add :meth:`Series.str.removeprefix` and :meth:`Series.str.removesuffix` introduced in Python 3.9 to remove pre-/suffixes from string-type :class:`Series` (:issue:`36944`)
+- Attempting to write into a file in missing parent directory with :meth:`DataFrame.to_csv`, :meth:`DataFrame.to_html`, :meth:`DataFrame.to_excel`, :meth:`DataFrame.to_feather`, :meth:`DataFrame.to_parquet`, :meth:`DataFrame.to_stata`, :meth:`DataFrame.to_json`, :meth:`DataFrame.to_pickle`, and :meth:`DataFrame.to_xml` now explicitly mentions missing parent directory, the same is true for :class:`Series` counterparts (:issue:`24306`)
 
 
 .. ---------------------------------------------------------------------------
diff --git a/pandas/io/common.py b/pandas/io/common.py
index 5c5b9c65b8abd..46be1f9bb09b2 100644
--- a/pandas/io/common.py
+++ b/pandas/io/common.py
@@ -17,6 +17,7 @@
 )
 import mmap
 import os
+from pathlib import Path
 import tempfile
 from typing import (
     IO,
@@ -520,6 +521,21 @@ def infer_compression(
     raise ValueError(msg)
 
 
+def check_parent_directory(path: Path | str) -> None:
+    """
+    Check if parent directory of a file exists, raise OSError if it does not
+
+    Parameters
+    ----------
+    path: Path or str
+        Path to check parent directory of
+
+    """
+    parent = Path(path).parent
+    if not parent.is_dir():
+        raise OSError(fr"Cannot save file into a non-existent directory: '{parent}'")
+
+
 def get_handle(
     path_or_buf: FilePathOrBuffer,
     mode: str,
@@ -632,6 +648,10 @@ def get_handle(
     compression_args = dict(ioargs.compression)
     compression = compression_args.pop("method")
 
+    # Only for write methods
+    if "r" not in mode and is_path:
+        check_parent_directory(str(handle))
+
     if compression:
         # compression libraries do not like an explicit text-mode
         ioargs.mode = ioargs.mode.replace("t", "")
diff --git a/pandas/io/formats/format.py b/pandas/io/formats/format.py
index 3fd3d84f90161..d636838d21d0e 100644
--- a/pandas/io/formats/format.py
+++ b/pandas/io/formats/format.py
@@ -96,7 +96,10 @@
 from pandas.core.indexes.timedeltas import TimedeltaIndex
 from pandas.core.reshape.concat import concat
 
-from pandas.io.common import stringify_path
+from pandas.io.common import (
+    check_parent_directory,
+    stringify_path,
+)
 from pandas.io.formats.printing import (
     adjoin,
     justify,
@@ -1147,6 +1150,7 @@ def get_buffer(buf: FilePathOrBuffer[str] | None, encoding: str | None = None):
     if hasattr(buf, "write"):
         yield buf
     elif isinstance(buf, str):
+        check_parent_directory(str(buf))
         with open(buf, "w", encoding=encoding, newline="") as f:
             # GH#30034 open instead of codecs.open prevents a file leak
             #  if we have an invalid encoding argument.
diff --git a/pandas/tests/io/test_common.py b/pandas/tests/io/test_common.py
index fc834c7acf39f..ad0b25d26d6f6 100644
--- a/pandas/tests/io/test_common.py
+++ b/pandas/tests/io/test_common.py
@@ -227,6 +227,33 @@ def test_read_non_existent(self, reader, module, error_class, fn_ext):
         ):
             reader(path)
 
+    @pytest.mark.parametrize(
+        "method, module, error_class, fn_ext",
+        [
+            (pd.DataFrame.to_csv, "os", OSError, "csv"),
+            (pd.DataFrame.to_html, "os", OSError, "html"),
+            (pd.DataFrame.to_excel, "xlrd", OSError, "xlsx"),
+            (pd.DataFrame.to_feather, "pyarrow", OSError, "feather"),
+            (pd.DataFrame.to_parquet, "pyarrow", OSError, "parquet"),
+            (pd.DataFrame.to_stata, "os", OSError, "dta"),
+            (pd.DataFrame.to_json, "os", OSError, "json"),
+            (pd.DataFrame.to_pickle, "os", OSError, "pickle"),
+        ],
+    )
+    # NOTE: Missing parent directory for pd.DataFrame.to_hdf is handled by PyTables
+    def test_write_missing_parent_directory(self, method, module, error_class, fn_ext):
+        pytest.importorskip(module)
+
+        dummy_frame = pd.DataFrame({"a": [1, 2, 3], "b": [2, 3, 4], "c": [3, 4, 5]})
+
+        path = os.path.join(HERE, "data", "missing_folder", "does_not_exist." + fn_ext)
+
+        with pytest.raises(
+            error_class,
+            match=r"Cannot save file into a non-existent directory: .*missing_folder",
+        ):
+            method(dummy_frame, path)
+
     @pytest.mark.parametrize(
         "reader, module, error_class, fn_ext",
         [
diff --git a/pandas/tests/io/xml/test_to_xml.py b/pandas/tests/io/xml/test_to_xml.py
index 4f4815b9008ad..b8d146c597d2c 100644
--- a/pandas/tests/io/xml/test_to_xml.py
+++ b/pandas/tests/io/xml/test_to_xml.py
@@ -202,10 +202,13 @@ def test_str_output(datapath, parser):
 
 
 def test_wrong_file_path(parser):
+    path = "/my/fake/path/output.xml"
+
     with pytest.raises(
-        FileNotFoundError, match=("No such file or directory|没有那个文件或目录")
+        OSError,
+        match=(r"Cannot save file into a non-existent directory: .*path"),
     ):
-        geom_df.to_xml("/my/fake/path/output.xml", parser=parser)
+        geom_df.to_xml(path, parser=parser)
 
 
 # INDEX