diff --git a/doc/source/whatsnew/v0.18.0.txt b/doc/source/whatsnew/v0.18.0.txt
index 75a38544fb8eb..67585d156a090 100644
--- a/doc/source/whatsnew/v0.18.0.txt
+++ b/doc/source/whatsnew/v0.18.0.txt
@@ -540,3 +540,4 @@ of columns didn't match the number of series provided (:issue:`12039`).
 
 - Bug in ``.loc`` setitem indexer preventing the use of a TZ-aware DatetimeIndex (:issue:`12050`)
 - Big in ``.style`` indexes and multi-indexes not appearing (:issue:`11655`)
+- Bug in ``.pivot_table()`` where ``dropna`` argument drops columns and index level names (:issue:`12133`)
diff --git a/pandas/tools/pivot.py b/pandas/tools/pivot.py
index 7a04847947bf2..0852d0114d697 100644
--- a/pandas/tools/pivot.py
+++ b/pandas/tools/pivot.py
@@ -126,13 +126,15 @@ def pivot_table(data, values=None, index=None, columns=None, aggfunc='mean',
 
     if not dropna:
         try:
-            m = MultiIndex.from_arrays(cartesian_product(table.index.levels))
+            m = MultiIndex.from_arrays(cartesian_product(table.index.levels),
+                                       names=table.index.names)
             table = table.reindex_axis(m, axis=0)
         except AttributeError:
             pass  # it's a single level
 
         try:
-            m = MultiIndex.from_arrays(cartesian_product(table.columns.levels))
+            m = MultiIndex.from_arrays(cartesian_product(table.columns.levels),
+                                       names=table.columns.names)
             table = table.reindex_axis(m, axis=1)
         except AttributeError:
             pass  # it's a single level or a series
diff --git a/pandas/tools/tests/test_pivot.py b/pandas/tools/tests/test_pivot.py
index d303f489d9dea..93d4802b7d622 100644
--- a/pandas/tools/tests/test_pivot.py
+++ b/pandas/tools/tests/test_pivot.py
@@ -96,6 +96,18 @@ def test_pivot_table_dropna(self):
         assert_equal(pv_col.columns.values, m.values)
         assert_equal(pv_ind.index.values, m.values)
 
+        #issue 12133, dropna=False arg drops index level names
+        idx = pd.MultiIndex.from_tuples([(1000000, 201308), (1000000, 201310)],
+                                        names=('quantity', 'month'))
+        tup = (("B", "c"), ("B", "d"), ("C", "c"), ("C", "d"))
+        clm = pd.MultiIndex.from_tuples(tup, names=('customer', 'product'))
+        pv = pd.DataFrame([[50000, np.nan, np.nan, np.nan],
+                           [np.nan, np.nan, np.nan, 30000]],
+                           index=idx, columns=clm)
+        pv_gen = df[2:].pivot_table('amount', ['quantity', 'month'],
+                                    ['customer', 'product'], dropna=False)
+        tm.assert_frame_equal(pv, pv_gen)
+
     def test_pass_array(self):
         result = self.data.pivot_table(
             'D', index=self.data.A, columns=self.data.C)