diff --git a/ci/code_checks.sh b/ci/code_checks.sh
index dd9219f03abca..6ec41a153dc7d 100755
--- a/ci/code_checks.sh
+++ b/ci/code_checks.sh
@@ -63,7 +63,6 @@ if [[ -z "$CHECK" || "$CHECK" == "docstrings" ]]; then
 
     MSG='Partially validate docstrings (EX01)' ;  echo $MSG
     $BASE_DIR/scripts/validate_docstrings.py --format=actions --errors=EX01 --ignore_functions \
-        pandas.errors.PerformanceWarning \
         pandas.errors.PyperclipException \
         pandas.errors.PyperclipWindowsException \
         pandas.errors.UnsortedIndexError \
diff --git a/pandas/errors/__init__.py b/pandas/errors/__init__.py
index 71e12109292ae..a7d113094543d 100644
--- a/pandas/errors/__init__.py
+++ b/pandas/errors/__init__.py
@@ -46,6 +46,26 @@ class NullFrequencyError(ValueError):
 class PerformanceWarning(Warning):
     """
     Warning raised when there is a possible performance impact.
+
+    Examples
+    --------
+    >>> df = pd.DataFrame({"jim": [0, 0, 1, 1],
+    ...                    "joe": ["x", "x", "z", "y"],
+    ...                    "jolie": [1, 2, 3, 4]})
+    >>> df = df.set_index(["jim", "joe"])
+    >>> df
+              jolie
+    jim  joe
+    0    x    1
+         x    2
+    1    z    3
+         y    4
+    >>> df.loc[(1, 'z')]  # doctest: +SKIP
+    # PerformanceWarning: indexing past lexsort depth may impact performance.
+    df.loc[(1, 'z')]
+              jolie
+    jim  joe
+    1    z        3
     """