diff --git a/Misc/NEWS.d/next/Library/2020-07-07-21-56-26.bpo-41235.H2csMU.rst b/Misc/NEWS.d/next/Library/2020-07-07-21-56-26.bpo-41235.H2csMU.rst
new file mode 100644
index 00000000000000..c55275bb1c622b
--- /dev/null
+++ b/Misc/NEWS.d/next/Library/2020-07-07-21-56-26.bpo-41235.H2csMU.rst
@@ -0,0 +1 @@
+Fix the error handling in :meth:`ssl.SSLContext.load_dh_params`.
diff --git a/Modules/_ssl.c b/Modules/_ssl.c
index 93cc529e796a0a..719f8e8ca308d1 100644
--- a/Modules/_ssl.c
+++ b/Modules/_ssl.c
@@ -4189,8 +4189,10 @@ _ssl__SSLContext_load_dh_params(PySSLContext *self, PyObject *filepath)
         }
         return NULL;
     }
-    if (SSL_CTX_set_tmp_dh(self->ctx, dh) == 0)
-        _setSSLError(NULL, 0, __FILE__, __LINE__);
+    if (!SSL_CTX_set_tmp_dh(self->ctx, dh)) {
+        DH_free(dh);
+        return _setSSLError(NULL, 0, __FILE__, __LINE__);
+    }
     DH_free(dh);
     Py_RETURN_NONE;
 }