diff --git a/lib/matplotlib/sphinxext/plot_directive.py b/lib/matplotlib/sphinxext/plot_directive.py
index dbf5072e2c93..398469eec2e8 100644
--- a/lib/matplotlib/sphinxext/plot_directive.py
+++ b/lib/matplotlib/sphinxext/plot_directive.py
@@ -196,6 +196,7 @@
 import sys
 import textwrap
 import traceback
+import warnings
 
 from docutils.parsers.rst import directives, Directive
 from docutils.parsers.rst.directives.images import Image
@@ -584,9 +585,10 @@ def _run_code(code, code_path, ns=None, function_name=None):
         dirname = os.path.abspath(os.path.dirname(code_path))
         os.chdir(dirname)
 
-    with cbook._setattr_cm(
+    with (warnings.catch_warnings(record=True) as caught_warnings,
+        cbook._setattr_cm(
             sys, argv=[code_path], path=[os.getcwd(), *sys.path]), \
-            contextlib.redirect_stdout(StringIO()):
+            contextlib.redirect_stdout(StringIO())):
         try:
             if ns is None:
                 ns = {}
@@ -609,6 +611,13 @@ def _run_code(code, code_path, ns=None, function_name=None):
             raise PlotError(traceback.format_exc()) from err
         finally:
             os.chdir(pwd)
+
+        for warn in caught_warnings:
+            _log.warning(
+                "[plot] Python warning during plot execution: %s (%s)",
+                warn.message,
+                warn.category.__name__
+            )
     return ns
 
 
diff --git a/lib/matplotlib/tests/test_sphinxext.py b/lib/matplotlib/tests/test_sphinxext.py
index 9192cdfb906b..62b9d335c403 100644
--- a/lib/matplotlib/tests/test_sphinxext.py
+++ b/lib/matplotlib/tests/test_sphinxext.py
@@ -59,6 +59,24 @@ def test_plot_directive_exception_fails_build(tmp_path):
     assert "RuntimeError: plot directive failure" in proc.stderr
 
 
+def test_plot_directive_warning_propagation(tmp_path):
+    shutil.copyfile(tinypages / 'conf.py', tmp_path / 'conf.py')
+    shutil.copytree(tinypages / '_static', tmp_path / '_static')
+    (tmp_path / 'index.rst').write_text("""
+.. plot::
+
+    import warnings
+    warnings.warn("A warning occurred")
+
+""")
+
+    proc = build_sphinx_html(
+        tmp_path, tmp_path / 'doctrees', tmp_path / '_build' / 'html',
+        expected_returncode=1)
+
+    assert "Python warning during plot execution: A warning occurred (UserWarning)" in proc.stderr
+
+
 def test_tinypages(tmp_path):
     shutil.copytree(tinypages, tmp_path, dirs_exist_ok=True,
                     ignore=shutil.ignore_patterns('_build', 'doctrees',