diff --git a/doc/source/whatsnew/v1.3.0.rst b/doc/source/whatsnew/v1.3.0.rst
index 77bc080892e6c..d9ee3033b04b9 100644
--- a/doc/source/whatsnew/v1.3.0.rst
+++ b/doc/source/whatsnew/v1.3.0.rst
@@ -208,6 +208,7 @@ Numeric
 ^^^^^^^
 - Bug in :meth:`DataFrame.quantile`, :meth:`DataFrame.sort_values` causing incorrect subsequent indexing behavior (:issue:`38351`)
 - Bug in :meth:`DataFrame.select_dtypes` with ``include=np.number`` now retains numeric ``ExtensionDtype`` columns (:issue:`35340`)
+- Bug in :meth:`DataFrame.mode` and :meth:`Series.mode` not keeping consistent integer :class:`Index` for empty input (:issue:`33321`)
 
 Conversion
 ^^^^^^^^^^
diff --git a/pandas/core/algorithms.py b/pandas/core/algorithms.py
index 2098392cf70a9..5e74db41b8740 100644
--- a/pandas/core/algorithms.py
+++ b/pandas/core/algorithms.py
@@ -928,6 +928,7 @@ def mode(values, dropna: bool = True) -> Series:
     mode : Series
     """
     from pandas import Series
+    import pandas.core.indexes.base as ibase
 
     values = _ensure_arraylike(values)
     original = values
@@ -954,7 +955,8 @@ def mode(values, dropna: bool = True) -> Series:
         warn(f"Unable to sort modes: {err}")
 
     result = _reconstruct_data(result, original.dtype, original)
-    return Series(result)
+    # Ensure index is type stable (should always use int index)
+    return Series(result, index=ibase.default_index(len(result)))
 
 
 def rank(
diff --git a/pandas/core/frame.py b/pandas/core/frame.py
index 42b3046b0ffe9..7f295a73a82e6 100644
--- a/pandas/core/frame.py
+++ b/pandas/core/frame.py
@@ -9230,7 +9230,12 @@ def mode(
         def f(s):
             return s.mode(dropna=dropna)
 
-        return data.apply(f, axis=axis)
+        data = data.apply(f, axis=axis)
+        # Ensure index is type stable (should always use int index)
+        if data.empty:
+            data.index = ibase.default_index(0)
+
+        return data
 
     def quantile(
         self,
diff --git a/pandas/tests/frame/test_reductions.py b/pandas/tests/frame/test_reductions.py
index d33d91f2cefca..f6313fc806305 100644
--- a/pandas/tests/frame/test_reductions.py
+++ b/pandas/tests/frame/test_reductions.py
@@ -669,6 +669,12 @@ def test_mode_sortwarning(self):
 
         tm.assert_frame_equal(result, expected)
 
+    def test_mode_empty_df(self):
+        df = DataFrame([], columns=["a", "b"])
+        result = df.mode()
+        expected = DataFrame([], columns=["a", "b"], index=Index([], dtype=int))
+        tm.assert_frame_equal(result, expected)
+
     def test_operators_timedelta64(self):
         df = DataFrame(
             {
diff --git a/pandas/tests/test_algos.py b/pandas/tests/test_algos.py
index 8fcc241348f27..ebaf69e08ccff 100644
--- a/pandas/tests/test_algos.py
+++ b/pandas/tests/test_algos.py
@@ -2253,7 +2253,7 @@ def test_int64_add_overflow():
 
 class TestMode:
     def test_no_mode(self):
-        exp = Series([], dtype=np.float64)
+        exp = Series([], dtype=np.float64, index=Index([], dtype=int))
         tm.assert_series_equal(algos.mode([]), exp)
 
     def test_mode_single(self):