diff --git a/DifferentiationInterface/ext/DifferentiationInterfaceZygoteExt/DifferentiationInterfaceZygoteExt.jl b/DifferentiationInterface/ext/DifferentiationInterfaceZygoteExt/DifferentiationInterfaceZygoteExt.jl
index 0f681c9f9..d86f2ec89 100644
--- a/DifferentiationInterface/ext/DifferentiationInterfaceZygoteExt/DifferentiationInterfaceZygoteExt.jl
+++ b/DifferentiationInterface/ext/DifferentiationInterfaceZygoteExt/DifferentiationInterfaceZygoteExt.jl
@@ -6,6 +6,24 @@ using ForwardDiff: ForwardDiff
 using Zygote:
     ZygoteRuleConfig, gradient, hessian, jacobian, pullback, withgradient, withjacobian
 
+struct ZygoteNothingError <: Exception
+    f
+    x
+    contexts
+end
+
+function Base.showerror(io::IO, e::ZygoteNothingError)
+    (; f, x, contexts) = e
+    sig = (typeof(x), map(typeof ∘ DI.unwrap, contexts)...)
+    return print(
+        io,
+        "Zygote failed to differentiate function `$f` with argument types `$sig` (the pullback returned `nothing`).",
+    )
+end
+
+check_nothing(::Nothing, f, x, contexts) = throw(ZygoteNothingError(f, x, contexts))
+check_nothing(::Any, f, x, contexts) = nothing
+
 DI.check_available(::AutoZygote) = true
 DI.inplace_support(::AutoZygote) = DI.InPlaceNotSupported()
 
@@ -46,6 +64,7 @@ function DI.value_and_pullback(
     tx = map(ty) do dy
         first(pb(dy))
     end
+    check_nothing(first(tx), f, x, contexts)
     return y, tx
 end
 
@@ -61,6 +80,7 @@ function DI.value_and_pullback(
     tx = map(ty) do dy
         first(pb(dy))
     end
+    check_nothing(first(tx), f, x, contexts)
     return copy(y), tx
 end
 
@@ -76,6 +96,7 @@ function DI.pullback(
     tx = map(ty) do dy
         first(pb(dy))
     end
+    check_nothing(first(tx), f, x, contexts)
     return tx
 end
 
@@ -95,6 +116,7 @@ function DI.value_and_gradient(
     contexts::Vararg{DI.ConstantOrFunctionOrBackend,C},
 ) where {C}
     (; val, grad) = withgradient(f, x, map(DI.unwrap, contexts)...)
+    check_nothing(first(grad), f, x, contexts)
     return val, first(grad)
 end
 
@@ -105,7 +127,9 @@ function DI.gradient(
     x,
     contexts::Vararg{DI.ConstantOrFunctionOrBackend,C},
 ) where {C}
-    return first(gradient(f, x, map(DI.unwrap, contexts)...))
+    grad = gradient(f, x, map(DI.unwrap, contexts)...)
+    check_nothing(first(grad), f, x, contexts)
+    return first(grad)
 end
 
 function DI.value_and_gradient!(
@@ -146,8 +170,11 @@ function DI.value_and_jacobian(
     x,
     contexts::Vararg{DI.ConstantOrFunctionOrBackend,C},
 ) where {C}
-    return f(x, map(DI.unwrap, contexts)...),
-    first(jacobian(f, x, map(DI.unwrap, contexts)...))  # https://github.com/FluxML/Zygote.jl/issues/1506
+    y = f(x, map(DI.unwrap, contexts)...)
+    # https://github.com/FluxML/Zygote.jl/issues/1506
+    jac = jacobian(f, x, map(DI.unwrap, contexts)...)
+    check_nothing(first(jac), f, x, contexts)
+    return y, first(jac)
 end
 
 function DI.jacobian(
@@ -157,7 +184,9 @@ function DI.jacobian(
     x,
     contexts::Vararg{DI.ConstantOrFunctionOrBackend,C},
 ) where {C}
-    return first(jacobian(f, x, map(DI.unwrap, contexts)...))
+    jac = jacobian(f, x, map(DI.unwrap, contexts)...)
+    check_nothing(first(jac), f, x, contexts)
+    return first(jac)
 end
 
 function DI.value_and_jacobian!(
@@ -266,7 +295,9 @@ function DI.hessian(
     contexts::Vararg{DI.ConstantOrFunctionOrBackend,C},
 ) where {C}
     fc = DI.with_contexts(f, contexts...)
-    return hessian(fc, x)
+    hess = hessian(fc, x)
+    check_nothing(hess, f, x, contexts)
+    return hess
 end
 
 function DI.hessian!(
diff --git a/DifferentiationInterface/test/Back/Zygote/test.jl b/DifferentiationInterface/test/Back/Zygote/test.jl
index 9204673d9..e83e3c257 100644
--- a/DifferentiationInterface/test/Back/Zygote/test.jl
+++ b/DifferentiationInterface/test/Back/Zygote/test.jl
@@ -24,27 +24,38 @@ end
 
 ## Dense
 
-test_differentiation(
-    backends,
-    default_scenarios(; include_constantified=true);
-    excluded=[:second_derivative],
-    logging=LOGGING,
-);
-
-test_differentiation(second_order_backends; logging=LOGGING);
-
-test_differentiation(
-    backends[1],
-    vcat(component_scenarios(), gpu_scenarios());
-    excluded=SECOND_ORDER,
-    logging=LOGGING,
-)
+@testset "Dense" begin
+    test_differentiation(
+        backends,
+        default_scenarios(; include_constantified=true);
+        excluded=[:second_derivative],
+        logging=LOGGING,
+    )
+
+    test_differentiation(second_order_backends; logging=LOGGING)
+
+    test_differentiation(
+        backends[1],
+        vcat(component_scenarios(), gpu_scenarios());
+        excluded=SECOND_ORDER,
+        logging=LOGGING,
+    )
+end
 
 ## Sparse
 
-test_differentiation(
-    MyAutoSparse.(vcat(backends, second_order_backends)),
-    sparse_scenarios(; band_sizes=0:-1);
-    sparsity=true,
-    logging=LOGGING,
-)
+@testset "Sparse" begin
+    test_differentiation(
+        MyAutoSparse.(vcat(backends, second_order_backends)),
+        sparse_scenarios(; band_sizes=0:-1);
+        sparsity=true,
+        logging=LOGGING,
+    )
+end
+
+## Errors
+
+@testset "Errors" begin
+    safe_log(x) = x > zero(x) ? log(x) : convert(typeof(x), NaN)
+    @test_throws "Zygote failed to differentiate" derivative(safe_log, AutoZygote(), 0.0)
+end