diff --git a/pandas/index.pyx b/pandas/index.pyx
index dad2b26e13412..25e6f35ad2a0d 100644
--- a/pandas/index.pyx
+++ b/pandas/index.pyx
@@ -143,6 +143,8 @@ cdef class IndexEngine:
                 return self._get_loc_duplicates(val)
             values = self._get_index_values()
             loc = _bin_search(values, val) # .searchsorted(val, side='left')
+            if loc >= len(values):
+                raise KeyError(val)
             if util.get_value_at(values, loc) != val:
                 raise KeyError(val)
             return loc
diff --git a/pandas/tests/indexes/test_multi.py b/pandas/tests/indexes/test_multi.py
index 390dbdd76a266..105ce37c1c51d 100644
--- a/pandas/tests/indexes/test_multi.py
+++ b/pandas/tests/indexes/test_multi.py
@@ -2052,6 +2052,23 @@ def test_equals_operator(self):
         # GH9785
         self.assertTrue((self.index == self.index).all())
 
+    def test_large_multiindex_error(self):
+        # GH12527
+        df_below_1000000 = pd.DataFrame(
+            1, index=pd.MultiIndex.from_product([[1, 2], range(499999)]),
+            columns=['dest'])
+        with assertRaises(KeyError):
+            df_below_1000000.loc[(-1, 0), 'dest']
+        with assertRaises(KeyError):
+            df_below_1000000.loc[(3, 0), 'dest']
+        df_above_1000000 = pd.DataFrame(
+            1, index=pd.MultiIndex.from_product([[1, 2], range(500001)]),
+            columns=['dest'])
+        with assertRaises(KeyError):
+            df_above_1000000.loc[(-1, 0), 'dest']
+        with assertRaises(KeyError):
+            df_above_1000000.loc[(3, 0), 'dest']
+
     def test_partial_string_timestamp_multiindex(self):
         # GH10331
         dr = pd.date_range('2016-01-01', '2016-01-03', freq='12H')