diff --git a/pandas/tests/groupby/test_groupby_dropna.py b/pandas/tests/groupby/test_groupby_dropna.py
index ca55263146db3..515c96780e731 100644
--- a/pandas/tests/groupby/test_groupby_dropna.py
+++ b/pandas/tests/groupby/test_groupby_dropna.py
@@ -378,3 +378,12 @@ def test_groupby_nan_included():
         tm.assert_numpy_array_equal(result_values, expected_values)
     assert np.isnan(list(result.keys())[2])
     assert list(result.keys())[0:2] == ["g1", "g2"]
+
+
+def test_groupby_drop_nan_with_multi_index():
+    # GH 39895
+    df = pd.DataFrame([[np.nan, 0, 1]], columns=["a", "b", "c"])
+    df = df.set_index(["a", "b"])
+    result = df.groupby(["a", "b"], dropna=False).first()
+    expected = df
+    tm.assert_frame_equal(result, expected)