diff --git a/doc/source/whatsnew/v1.1.0.rst b/doc/source/whatsnew/v1.1.0.rst
index 14f82c2e71519..721bcb0758992 100644
--- a/doc/source/whatsnew/v1.1.0.rst
+++ b/doc/source/whatsnew/v1.1.0.rst
@@ -140,7 +140,7 @@ Reshaping
 ^^^^^^^^^
 
 -
--
+- Bug in :meth:`DataFrame.pivot_table` when only MultiIndexed columns is set (:issue:`17038`)
 
 Sparse
 ^^^^^^
diff --git a/pandas/core/reshape/pivot.py b/pandas/core/reshape/pivot.py
index b443ba142369c..7109f23761188 100644
--- a/pandas/core/reshape/pivot.py
+++ b/pandas/core/reshape/pivot.py
@@ -117,7 +117,9 @@ def pivot_table(
                 agged[v] = maybe_downcast_to_dtype(agged[v], data[v].dtype)
 
     table = agged
-    if table.index.nlevels > 1:
+
+    # GH17038, this check should only happen if index is defined (not None)
+    if table.index.nlevels > 1 and index:
         # Related GH #17123
         # If index_names are integers, determine whether the integers refer
         # to the level position or name.
diff --git a/pandas/tests/reshape/test_pivot.py b/pandas/tests/reshape/test_pivot.py
index 743fc50c87e96..e3a57da450334 100644
--- a/pandas/tests/reshape/test_pivot.py
+++ b/pandas/tests/reshape/test_pivot.py
@@ -896,12 +896,6 @@ def _check_output(
             totals = table.loc[("All", ""), value_col]
             assert totals == self.data[value_col].mean()
 
-        # no rows
-        rtable = self.data.pivot_table(
-            columns=["AA", "BB"], margins=True, aggfunc=np.mean
-        )
-        assert isinstance(rtable, Series)
-
         table = self.data.pivot_table(index=["AA", "BB"], margins=True, aggfunc="mean")
         for item in ["DD", "EE", "FF"]:
             totals = table.loc[("All", ""), item]
@@ -951,6 +945,20 @@ def test_margins_dtype_len(self):
 
         tm.assert_frame_equal(expected, result)
 
+    @pytest.mark.parametrize("cols", [(1, 2), ("a", "b"), (1, "b"), ("a", 1)])
+    def test_pivot_table_multiindex_only(self, cols):
+        # GH 17038
+        df2 = DataFrame({cols[0]: [1, 2, 3], cols[1]: [1, 2, 3], "v": [4, 5, 6]})
+
+        result = df2.pivot_table(values="v", columns=cols)
+        expected = DataFrame(
+            [[4, 5, 6]],
+            columns=MultiIndex.from_tuples([(1, 1), (2, 2), (3, 3)], names=cols),
+            index=Index(["v"]),
+        )
+
+        tm.assert_frame_equal(result, expected)
+
     def test_pivot_integer_columns(self):
         # caused by upstream bug in unstack