diff --git a/doc/source/whatsnew/v1.2.0.rst b/doc/source/whatsnew/v1.2.0.rst
index ecea79be5b4dc..cce6b1b01d802 100644
--- a/doc/source/whatsnew/v1.2.0.rst
+++ b/doc/source/whatsnew/v1.2.0.rst
@@ -611,6 +611,7 @@ Indexing
 - Bug in :meth:`DataFrame.reindex` raising ``IndexingError`` wrongly for empty :class:`DataFrame` with ``tolerance`` not None or ``method="nearest"`` (:issue:`27315`)
 - Bug in indexing on a :class:`Series` or :class:`DataFrame` with a :class:`CategoricalIndex` using listlike indexer that contains elements that are in the index's ``categories`` but not in the index itself failing to raise ``KeyError`` (:issue:`37901`)
 - Bug in :meth:`DataFrame.iloc` and :meth:`Series.iloc` aligning objects in ``__setitem__`` (:issue:`22046`)
+- Bug in :meth:`DataFrame.loc` did not raise ``KeyError`` when missing combination was given with ``slice(None)`` for remaining levels (:issue:`19556`)
 
 Missing
 ^^^^^^^
diff --git a/pandas/core/indexes/multi.py b/pandas/core/indexes/multi.py
index 9eb34d920a328..76c5ee539e510 100644
--- a/pandas/core/indexes/multi.py
+++ b/pandas/core/indexes/multi.py
@@ -3132,19 +3132,26 @@ def _convert_to_indexer(r) -> Int64Index:
                 r = r.nonzero()[0]
             return Int64Index(r)
 
-        def _update_indexer(idxr: Optional[Index], indexer: Optional[Index]) -> Index:
+        def _update_indexer(
+            idxr: Optional[Index], indexer: Optional[Index], key
+        ) -> Index:
             if indexer is None:
                 indexer = Index(np.arange(n))
             if idxr is None:
                 return indexer
-            return indexer.intersection(idxr)
+            indexer_intersection = indexer.intersection(idxr)
+            if indexer_intersection.empty and not idxr.empty and not indexer.empty:
+                raise KeyError(key)
+            return indexer_intersection
 
         for i, k in enumerate(seq):
 
             if com.is_bool_indexer(k):
                 # a boolean indexer, must be the same length!
                 k = np.asarray(k)
-                indexer = _update_indexer(_convert_to_indexer(k), indexer=indexer)
+                indexer = _update_indexer(
+                    _convert_to_indexer(k), indexer=indexer, key=seq
+                )
 
             elif is_list_like(k):
                 # a collection of labels to include from this level (these
@@ -3164,14 +3171,14 @@ def _update_indexer(idxr: Optional[Index], indexer: Optional[Index]) -> Index:
                         continue
 
                 if indexers is not None:
-                    indexer = _update_indexer(indexers, indexer=indexer)
+                    indexer = _update_indexer(indexers, indexer=indexer, key=seq)
                 else:
                     # no matches we are done
                     return np.array([], dtype=np.int64)
 
             elif com.is_null_slice(k):
                 # empty slice
-                indexer = _update_indexer(None, indexer=indexer)
+                indexer = _update_indexer(None, indexer=indexer, key=seq)
 
             elif isinstance(k, slice):
 
@@ -3181,6 +3188,7 @@ def _update_indexer(idxr: Optional[Index], indexer: Optional[Index]) -> Index:
                         self._get_level_indexer(k, level=i, indexer=indexer)
                     ),
                     indexer=indexer,
+                    key=seq,
                 )
             else:
                 # a single label
@@ -3189,6 +3197,7 @@ def _update_indexer(idxr: Optional[Index], indexer: Optional[Index]) -> Index:
                         self.get_loc_level(k, level=i, drop_level=False)[0]
                     ),
                     indexer=indexer,
+                    key=seq,
                 )
 
         # empty indexer
diff --git a/pandas/tests/indexing/multiindex/test_loc.py b/pandas/tests/indexing/multiindex/test_loc.py
index 165d34180dfab..22ffca46a4829 100644
--- a/pandas/tests/indexing/multiindex/test_loc.py
+++ b/pandas/tests/indexing/multiindex/test_loc.py
@@ -608,6 +608,25 @@ def test_missing_key_raises_keyerror2(self):
         with pytest.raises(KeyError, match=r"\(0, 3\)"):
             ser.loc[0, 3]
 
+    def test_missing_key_combination(self):
+        # GH: 19556
+        mi = MultiIndex.from_arrays(
+            [
+                np.array(["a", "a", "b", "b"]),
+                np.array(["1", "2", "2", "3"]),
+                np.array(["c", "d", "c", "d"]),
+            ],
+            names=["one", "two", "three"],
+        )
+        df = DataFrame(np.random.rand(4, 3), index=mi)
+        msg = r"\('b', '1', slice\(None, None, None\)\)"
+        with pytest.raises(KeyError, match=msg):
+            df.loc[("b", "1", slice(None)), :]
+        with pytest.raises(KeyError, match=msg):
+            df.index.get_locs(("b", "1", slice(None)))
+        with pytest.raises(KeyError, match=r"\('b', '1'\)"):
+            df.loc[("b", "1"), :]
+
 
 def test_getitem_loc_commutability(multiindex_year_month_day_dataframe_random_data):
     df = multiindex_year_month_day_dataframe_random_data