diff --git a/doc/source/whatsnew/v0.25.0.rst b/doc/source/whatsnew/v0.25.0.rst
index 1390e60179aae..a504e269ff12d 100644
--- a/doc/source/whatsnew/v0.25.0.rst
+++ b/doc/source/whatsnew/v0.25.0.rst
@@ -817,6 +817,7 @@ I/O
 - Bug while selecting from :class:`HDFStore` with ``where=''`` specified (:issue:`26610`).
 - Fixed bug in :func:`DataFrame.to_excel()` where custom objects (i.e. `PeriodIndex`) inside merged cells were not being converted into types safe for the Excel writer (:issue:`27006`)
 - Bug in :meth:`read_hdf` where reading a timezone aware :class:`DatetimeIndex` would raise a ``TypeError`` (:issue:`11926`)
+- Raise ``FileNotFoundError`` instead of ``ValueError`` in :func:`read_msgpack` where a string or path-like object is passed and the referred-to file cannot be found on the filesystem (:issue:`21762`)
 
 Plotting
 ^^^^^^^^
diff --git a/pandas/io/packers.py b/pandas/io/packers.py
index 30e51e62aa764..508caa99b6b52 100644
--- a/pandas/io/packers.py
+++ b/pandas/io/packers.py
@@ -176,14 +176,11 @@ def read(fh):
 
     # see if we have an actual file
     if isinstance(path_or_buf, str):
-        try:
-            exists = os.path.exists(path_or_buf)
-        except (TypeError, ValueError):
-            exists = False
-
-        if exists:
-            with open(path_or_buf, 'rb') as fh:
-                return read(fh)
+        # Note, we immediately try to read the file here if we
+        # got a string, as opposed to trying to parse it as something
+        # else. See #27160.
+        with open(path_or_buf, 'rb') as fh:
+            return read(fh)
 
     if isinstance(path_or_buf, bytes):
         # treat as a binary-like
diff --git a/pandas/tests/io/test_common.py b/pandas/tests/io/test_common.py
index 04faf5aee4b6d..a69606decf228 100644
--- a/pandas/tests/io/test_common.py
+++ b/pandas/tests/io/test_common.py
@@ -140,7 +140,7 @@ def test_iterator(self):
         (pd.read_stata, 'os', FileNotFoundError, 'dta'),
         (pd.read_sas, 'os', FileNotFoundError, 'sas7bdat'),
         (pd.read_json, 'os', ValueError, 'json'),
-        (pd.read_msgpack, 'os', ValueError, 'mp'),
+        (pd.read_msgpack, 'os', FileNotFoundError, 'mp'),
         (pd.read_pickle, 'os', FileNotFoundError, 'pickle'),
     ])
     def test_read_non_existant(self, reader, module, error_class, fn_ext):
@@ -169,7 +169,7 @@ def test_read_non_existant(self, reader, module, error_class, fn_ext):
         (pd.read_stata, 'os', FileNotFoundError, 'dta'),
         (pd.read_sas, 'os', FileNotFoundError, 'sas7bdat'),
         (pd.read_json, 'os', ValueError, 'json'),
-        (pd.read_msgpack, 'os', ValueError, 'mp'),
+        (pd.read_msgpack, 'os', FileNotFoundError, 'mp'),
         (pd.read_pickle, 'os', FileNotFoundError, 'pickle'),
     ])
     def test_read_expands_user_home_dir(self, reader, module,