diff --git a/pandas/core/config_init.py b/pandas/core/config_init.py
index cf41bcff3d0c8..3f7363836acdb 100644
--- a/pandas/core/config_init.py
+++ b/pandas/core/config_init.py
@@ -816,9 +816,11 @@ def register_converter_cb(key):
     The specifier for vertical alignment of sparsified LaTeX multirows.
 """
 
-styler_multicol_align = """
-: {"r", "c", "l"}
-    The specifier for horizontal alignment of sparsified LaTeX multicolumns.
+styler_multicol_align = r"""
+: {"r", "c", "l", "naive-l", "naive-r"}
+    The specifier for horizontal alignment of sparsified LaTeX multicolumns. Pipe
+    decorators can also be added to non-naive values to draw vertical
+    rules, e.g. "\|r" will draw a rule on the left side of right aligned merged cells.
 """
 
 styler_environment = """
@@ -918,11 +920,13 @@ def register_converter_cb(key):
         validator=is_one_of_factory(["c", "t", "b", "naive"]),
     )
 
+    val_mca = ["r", "|r|", "|r", "r|", "c", "|c|", "|c", "c|", "l", "|l|", "|l", "l|"]
+    val_mca += ["naive-l", "naive-r"]
     cf.register_option(
         "latex.multicol_align",
         "r",
         styler_multicol_align,
-        validator=is_one_of_factory(["r", "c", "l", "naive-l", "naive-r"]),
+        validator=is_one_of_factory(val_mca),
     )
 
     cf.register_option(
diff --git a/pandas/io/formats/style.py b/pandas/io/formats/style.py
index 2fbd9506e391a..a454980138369 100644
--- a/pandas/io/formats/style.py
+++ b/pandas/io/formats/style.py
@@ -530,8 +530,11 @@ def to_latex(
         multicol_align : {"r", "c", "l", "naive-l", "naive-r"}, optional
             If sparsifying hierarchical MultiIndex columns whether to align text at
             the left, centrally, or at the right. If not given defaults to
-            ``pandas.options.styler.latex.multicol_align``. If a naive option is
-            given renders without multicol.
+            ``pandas.options.styler.latex.multicol_align``, which is "r".
+            If a naive option is given renders without multicol.
+            Pipe decorators can also be added to non-naive values to draw vertical
+            rules, e.g. "\|r" will draw a rule on the left side of right aligned merged
+            cells.
 
             .. versionchanged:: 1.4.0
         siunitx : bool, default False