diff --git a/storage/connect/mysql-test/connect/r/unknown_db.result b/storage/connect/mysql-test/connect/r/unknown_db.result
new file mode 100644
index 0000000000000..ccba8ff4c9a89
--- /dev/null
+++ b/storage/connect/mysql-test/connect/r/unknown_db.result
@@ -0,0 +1,28 @@
+#
+# MDEV-39050 ConnectSE: improve table discovery error message when local database doesn't exist
+#
+DROP DATABASE IF EXISTS unknown_connect_db;
+Warnings:
+Note	1008	Can't drop database 'unknown_connect_db'; database doesn't exist
+CREATE TABLE t1 (id INT NOT NULL, name VARCHAR(32));
+INSERT INTO t1 VALUES (1, 'foo'), (2, 'bar');
+#
+# TABLE_TYPE=PROXY with DBNAME pointing to a non-existent database
+# should produce "Unknown database" instead of a generic discovery error
+#
+CREATE TABLE t2 ENGINE=CONNECT TABLE_TYPE=PROXY TABNAME='t1' DBNAME='unknown_connect_db';
+ERROR HY000: Unknown database 'unknown_connect_db'
+#
+# Once the database and source table exist, discovery should succeed
+#
+CREATE DATABASE unknown_connect_db;
+CREATE TABLE unknown_connect_db.t1 (id INT NOT NULL, name VARCHAR(32));
+INSERT INTO unknown_connect_db.t1 VALUES (3, 'baz');
+CREATE TABLE t2 ENGINE=CONNECT TABLE_TYPE=PROXY TABNAME='t1' DBNAME='unknown_connect_db';
+SELECT * FROM t2 ORDER BY id;
+id	name
+3	baz
+DROP TABLE t2;
+DROP TABLE t1;
+DROP TABLE unknown_connect_db.t1;
+DROP DATABASE unknown_connect_db;
diff --git a/storage/connect/mysql-test/connect/t/unknown_db.test b/storage/connect/mysql-test/connect/t/unknown_db.test
new file mode 100644
index 0000000000000..4ae5a75ae496e
--- /dev/null
+++ b/storage/connect/mysql-test/connect/t/unknown_db.test
@@ -0,0 +1,37 @@
+--source include/not_embedded.inc
+
+--echo #
+--echo # MDEV-39050 ConnectSE: improve table discovery error message when local database doesn't exist
+--echo #
+
+# Ensure the test database does not exist
+DROP DATABASE IF EXISTS unknown_connect_db;
+
+# Create a source table to proxy
+CREATE TABLE t1 (id INT NOT NULL, name VARCHAR(32));
+INSERT INTO t1 VALUES (1, 'foo'), (2, 'bar');
+
+--echo #
+--echo # TABLE_TYPE=PROXY with DBNAME pointing to a non-existent database
+--echo # should produce "Unknown database" instead of a generic discovery error
+--echo #
+
+--error ER_UNKNOWN_ERROR
+CREATE TABLE t2 ENGINE=CONNECT TABLE_TYPE=PROXY TABNAME='t1' DBNAME='unknown_connect_db';
+
+--echo #
+--echo # Once the database and source table exist, discovery should succeed
+--echo #
+
+CREATE DATABASE unknown_connect_db;
+CREATE TABLE unknown_connect_db.t1 (id INT NOT NULL, name VARCHAR(32));
+INSERT INTO unknown_connect_db.t1 VALUES (3, 'baz');
+
+CREATE TABLE t2 ENGINE=CONNECT TABLE_TYPE=PROXY TABNAME='t1' DBNAME='unknown_connect_db';
+SELECT * FROM t2 ORDER BY id;
+
+# Cleanup
+DROP TABLE t2;
+DROP TABLE t1;
+DROP TABLE unknown_connect_db.t1;
+DROP DATABASE unknown_connect_db;
diff --git a/storage/connect/tabutil.cpp b/storage/connect/tabutil.cpp
index 8095632d7f5f5..2a73a536786dd 100644
--- a/storage/connect/tabutil.cpp
+++ b/storage/connect/tabutil.cpp
@@ -14,6 +14,7 @@
 #include "sql_class.h"
 #include "table.h"
 #include "field.h"
+#include "sql_db.h"
 #if defined(_WIN32)
 #include <stdlib.h>
 #include <stdio.h>
@@ -109,7 +110,12 @@ TABLE_SHARE *GetTableShare(PGLOBAL g, THD *thd, const char *db,
     if (thd->is_error())
       thd->clear_error();  // Avoid stopping info commands
 
-    snprintf(g->Message, sizeof(g->Message), "Error %d opening share", s->error);
+    if (s->error == OPEN_FRM_OPEN_ERROR && s->open_errno == ENOENT &&
+        check_db_dir_existence(db))
+      snprintf(g->Message, sizeof(g->Message), "Unknown database '%s'", db);
+    else
+      snprintf(g->Message, sizeof(g->Message), "Error %d opening share", s->error);
+
     free_table_share(s);
     return NULL;
   } // endif open_table_def