diff --git a/doc/source/whatsnew/v1.4.0.rst b/doc/source/whatsnew/v1.4.0.rst
index ee1dd58149451..560c3fad59e5e 100644
--- a/doc/source/whatsnew/v1.4.0.rst
+++ b/doc/source/whatsnew/v1.4.0.rst
@@ -538,6 +538,7 @@ Conversion
 - Bug in :class:`Series` constructor returning 0 for missing values with dtype ``int64`` and ``False`` for dtype ``bool`` (:issue:`43017`, :issue:`43018`)
 - Bug in :class:`IntegerDtype` not allowing coercion from string dtype (:issue:`25472`)
 - Bug in :func:`to_datetime` with ``arg:xr.DataArray`` and ``unit="ns"`` specified raises TypeError (:issue:`44053`)
+- Bug in :meth:`DataFrame.convert_dtypes` not returning the correct type when a subclass does not overload :meth:`_constructor_sliced` (:issue:`43201`)
 -
 
 Strings
diff --git a/pandas/core/generic.py b/pandas/core/generic.py
index 23608cf0192df..6b51456006021 100644
--- a/pandas/core/generic.py
+++ b/pandas/core/generic.py
@@ -18,6 +18,7 @@
     Literal,
     Mapping,
     Sequence,
+    Type,
     cast,
     final,
     overload,
@@ -6219,8 +6220,12 @@ def convert_dtypes(
                 for col_name, col in self.items()
             ]
             if len(results) > 0:
+                result = concat(results, axis=1, copy=False)
+                cons = cast(Type["DataFrame"], self._constructor)
+                result = cons(result)
+                result = result.__finalize__(self, method="convert_dtypes")
                 # https://github.com/python/mypy/issues/8354
-                return cast(NDFrameT, concat(results, axis=1, copy=False))
+                return cast(NDFrameT, result)
             else:
                 return self.copy()
 
diff --git a/pandas/tests/frame/test_subclass.py b/pandas/tests/frame/test_subclass.py
index 42474ff00ad6d..8d9957b24300f 100644
--- a/pandas/tests/frame/test_subclass.py
+++ b/pandas/tests/frame/test_subclass.py
@@ -13,6 +13,16 @@
 import pandas._testing as tm
 
 
+@pytest.fixture()
+def gpd_style_subclass_df():
+    class SubclassedDataFrame(DataFrame):
+        @property
+        def _constructor(self):
+            return SubclassedDataFrame
+
+    return SubclassedDataFrame({"a": [1, 2, 3]})
+
+
 class TestDataFrameSubclassing:
     def test_frame_subclassing_and_slicing(self):
         # Subclass frame and ensure it returns the right class on slicing it
@@ -704,6 +714,15 @@ def test_idxmax_preserves_subclass(self):
         result = df.idxmax()
         assert isinstance(result, tm.SubclassedSeries)
 
+    def test_convert_dtypes_preserves_subclass(self, gpd_style_subclass_df):
+        # GH 43668
+        df = tm.SubclassedDataFrame({"A": [1, 2, 3], "B": [4, 5, 6], "C": [7, 8, 9]})
+        result = df.convert_dtypes()
+        assert isinstance(result, tm.SubclassedDataFrame)
+
+        result = gpd_style_subclass_df.convert_dtypes()
+        assert isinstance(result, type(gpd_style_subclass_df))
+
     def test_equals_subclass(self):
         # https://github.com/pandas-dev/pandas/pull/34402
         # allow subclass in both directions
diff --git a/pandas/tests/generic/test_finalize.py b/pandas/tests/generic/test_finalize.py
index c1f8b5dd7cf41..135e8cc7b7aba 100644
--- a/pandas/tests/generic/test_finalize.py
+++ b/pandas/tests/generic/test_finalize.py
@@ -347,10 +347,7 @@
         operator.methodcaller("infer_objects"),
     ),
     (pd.Series, ([1, 2],), operator.methodcaller("convert_dtypes")),
-    pytest.param(
-        (pd.DataFrame, frame_data, operator.methodcaller("convert_dtypes")),
-        marks=not_implemented_mark,
-    ),
+    (pd.DataFrame, frame_data, operator.methodcaller("convert_dtypes")),
     (pd.Series, ([1, None, 3],), operator.methodcaller("interpolate")),
     (pd.DataFrame, ({"A": [1, None, 3]},), operator.methodcaller("interpolate")),
     (pd.Series, ([1, 2],), operator.methodcaller("clip", lower=1)),