diff --git a/pandas/core/frame.py b/pandas/core/frame.py
index 863465ca1565c..af66bb54610f1 100644
--- a/pandas/core/frame.py
+++ b/pandas/core/frame.py
@@ -6890,7 +6890,8 @@ def sort_values(
             builtin :meth:`sorted` function, with the notable difference that
             this `key` function should be *vectorized*. It should expect a
             ``Series`` and return a Series with the same shape as the input.
-            It will be applied to each column in `by` independently.
+            It will be applied to each column in `by` independently. The values in the
+            returned Series will be used as the keys for sorting.
 
         Returns
         -------
diff --git a/pandas/core/generic.py b/pandas/core/generic.py
index de7fb3682fb4f..e0a4f9d9c546a 100644
--- a/pandas/core/generic.py
+++ b/pandas/core/generic.py
@@ -4884,7 +4884,8 @@ def sort_values(
             builtin :meth:`sorted` function, with the notable difference that
             this `key` function should be *vectorized*. It should expect a
             ``Series`` and return a Series with the same shape as the input.
-            It will be applied to each column in `by` independently.
+            It will be applied to each column in `by` independently. The values in the
+            returned Series will be used as the keys for sorting.
 
         Returns
         -------