diff --git a/doc/source/whatsnew/v2.1.0.rst b/doc/source/whatsnew/v2.1.0.rst
index 22a2931519ffd..4ff0a7ef0022e 100644
--- a/doc/source/whatsnew/v2.1.0.rst
+++ b/doc/source/whatsnew/v2.1.0.rst
@@ -348,6 +348,7 @@ I/O
 ^^^
 - :meth:`DataFrame.to_orc` now raising ``ValueError`` when non-default :class:`Index` is given (:issue:`51828`)
 - :meth:`DataFrame.to_sql` now raising ``ValueError`` when the name param is left empty while using SQLAlchemy to connect (:issue:`52675`)
+- Bug in :func:`read_hdf` not properly closing store after a ``IndexError`` is raised (:issue:`52781`)
 - Bug in :func:`read_html`, style elements were read into DataFrames (:issue:`52197`)
 - Bug in :func:`read_html`, tail texts were removed together with elements containing ``display:none`` style (:issue:`51629`)
 -
diff --git a/pandas/io/pytables.py b/pandas/io/pytables.py
index 2a522ef6b5171..8de1aaacaf400 100644
--- a/pandas/io/pytables.py
+++ b/pandas/io/pytables.py
@@ -455,7 +455,7 @@ def read_hdf(
             chunksize=chunksize,
             auto_close=auto_close,
         )
-    except (ValueError, TypeError, KeyError):
+    except (ValueError, TypeError, LookupError):
         if not isinstance(path_or_buf, HDFStore):
             # if there is an error, close the store if we opened it.
             with suppress(AttributeError):
diff --git a/pandas/tests/io/pytables/test_read.py b/pandas/tests/io/pytables/test_read.py
index 2f2190a352045..61dabf15653f0 100644
--- a/pandas/tests/io/pytables/test_read.py
+++ b/pandas/tests/io/pytables/test_read.py
@@ -42,6 +42,20 @@ def test_read_missing_key_close_store(tmp_path, setup_path):
     df.to_hdf(path, "k2")
 
 
+def test_read_index_error_close_store(tmp_path, setup_path):
+    # GH 25766
+    path = tmp_path / setup_path
+    df = DataFrame({"A": [], "B": []}, index=[])
+    df.to_hdf(path, "k1")
+
+    with pytest.raises(IndexError, match=r"list index out of range"):
+        read_hdf(path, "k1", stop=0)
+
+    # smoke test to test that file is properly closed after
+    # read with IndexError before another write
+    df.to_hdf(path, "k1")
+
+
 def test_read_missing_key_opened_store(tmp_path, setup_path):
     # GH 28699
     path = tmp_path / setup_path