diff --git a/Lib/pickle.py b/Lib/pickle.py
index 71aa57d500e..01d41422aa4 100644
--- a/Lib/pickle.py
+++ b/Lib/pickle.py
@@ -1604,17 +1604,29 @@ class _Unpickler:
 
     def load_get(self):
         i = int(self.readline()[:-1])
-        self.append(self.memo[i])
+        try:
+            self.append(self.memo[i])
+        except KeyError:
+            msg = f'Memo value not found at index {i}'
+            raise UnpicklingError(msg) from None
     dispatch[GET[0]] = load_get
 
     def load_binget(self):
         i = self.read(1)[0]
-        self.append(self.memo[i])
+        try:
+            self.append(self.memo[i])
+        except KeyError as exc:
+            msg = f'Memo value not found at index {i}'
+            raise UnpicklingError(msg) from None
     dispatch[BINGET[0]] = load_binget
 
     def load_long_binget(self):
         i, = unpack('<I', self.read(4))
-        self.append(self.memo[i])
+        try:
+            self.append(self.memo[i])
+        except KeyError as exc:
+            msg = f'Memo value not found at index {i}'
+            raise UnpicklingError(msg) from None
     dispatch[LONG_BINGET[0]] = load_long_binget
 
     def load_put(self):
diff --git a/Lib/test/pickletester.py b/Lib/test/pickletester.py
index c9f374678ae..953fd5c5a27 100644
--- a/Lib/test/pickletester.py
+++ b/Lib/test/pickletester.py
@@ -1019,7 +1019,9 @@ class AbstractUnpickleTests(unittest.TestCase):
         self.assertEqual(self.loads(dumped), '\u20ac\x00')
 
     def test_misc_get(self):
-        self.check_unpickling_error(KeyError, b'g0\np0')
+        self.check_unpickling_error(pickle.UnpicklingError, b'g0\np0')
+        self.check_unpickling_error(pickle.UnpicklingError, b'jens:')
+        self.check_unpickling_error(pickle.UnpicklingError, b'hens:')
         self.assert_is_copy([(100,), (100,)],
                             self.loads(b'((Kdtp0\nh\x00l.))'))
 
diff --git a/Misc/NEWS.d/next/Library/2019-11-22-10-58-58.bpo-38876.qqy1Vp.rst b/Misc/NEWS.d/next/Library/2019-11-22-10-58-58.bpo-38876.qqy1Vp.rst
new file mode 100644
index 00000000000..43b25acc39d
--- /dev/null
+++ b/Misc/NEWS.d/next/Library/2019-11-22-10-58-58.bpo-38876.qqy1Vp.rst
@@ -0,0 +1,9 @@
+Raise pickle.UnpicklingError when loading an item from memo for invalid
+input
+
+The previous code was raising a `KeyError` for both the Python and C
+implementation. This was caused by the specified index of an invalid input
+which did not exist in the memo structure, where the pickle stores what
+objects it has seen. The malformed input would have caused either a `BINGET`
+or `LONG_BINGET` load from the memo, leading to a `KeyError` as the
+determined index was bogus. Patch by Claudiu Popa
diff --git a/Modules/_pickle.c b/Modules/_pickle.c
index 7370be59388..baa0a274196 100644
--- a/Modules/_pickle.c
+++ b/Modules/_pickle.c
@@ -6174,8 +6174,10 @@ load_get(UnpicklerObject *self)
 
     value = _Unpickler_MemoGet(self, idx);
     if (value == NULL) {
-        if (!PyErr_Occurred())
-            PyErr_SetObject(PyExc_KeyError, key);
+        if (!PyErr_Occurred()) {
+           PickleState *st = _Pickle_GetGlobalState();
+           PyErr_Format(st->UnpicklingError, "Memo value not found at index %ld", idx);
+        }
         Py_DECREF(key);
         return -1;
     }
@@ -6201,7 +6203,8 @@ load_binget(UnpicklerObject *self)
     if (value == NULL) {
         PyObject *key = PyLong_FromSsize_t(idx);
         if (key != NULL) {
-            PyErr_SetObject(PyExc_KeyError, key);
+            PickleState *st = _Pickle_GetGlobalState();
+            PyErr_Format(st->UnpicklingError, "Memo value not found at index %ld", idx);
             Py_DECREF(key);
         }
         return -1;
@@ -6227,7 +6230,8 @@ load_long_binget(UnpicklerObject *self)
     if (value == NULL) {
         PyObject *key = PyLong_FromSsize_t(idx);
         if (key != NULL) {
-            PyErr_SetObject(PyExc_KeyError, key);
+            PickleState *st = _Pickle_GetGlobalState();
+            PyErr_Format(st->UnpicklingError, "Memo value not found at index %ld", idx);
             Py_DECREF(key);
         }
         return -1;