diff --git a/doc/source/whatsnew/v1.2.0.rst b/doc/source/whatsnew/v1.2.0.rst
index 1617bf66c4f04..e7f9e8011bef6 100644
--- a/doc/source/whatsnew/v1.2.0.rst
+++ b/doc/source/whatsnew/v1.2.0.rst
@@ -217,7 +217,7 @@ Interval
 
 Indexing
 ^^^^^^^^
-
+- Bug in :meth:`PeriodIndex.get_loc` incorrectly raising ``ValueError`` on non-datelike strings instead of ``KeyError``, causing similar errors in :meth:`Series.__geitem__`, :meth:`Series.__contains__`, and :meth:`Series.loc.__getitem__` (:issue:`34240`)
 -
 -
 
diff --git a/pandas/core/groupby/grouper.py b/pandas/core/groupby/grouper.py
index 18970ea0544e4..3017521c6a065 100644
--- a/pandas/core/groupby/grouper.py
+++ b/pandas/core/groupby/grouper.py
@@ -755,9 +755,9 @@ def is_in_obj(gpr) -> bool:
             return False
         try:
             return gpr is obj[gpr.name]
-        except (KeyError, IndexError, ValueError):
-            # TODO: ValueError: Given date string not likely a datetime.
-            # should be KeyError?
+        except (KeyError, IndexError):
+            # IndexError reached in e.g. test_skip_group_keys when we pass
+            #  lambda here
             return False
 
     for i, (gpr, level) in enumerate(zip(keys, levels)):
diff --git a/pandas/core/indexes/period.py b/pandas/core/indexes/period.py
index 11334803d4583..cdb502199c6f1 100644
--- a/pandas/core/indexes/period.py
+++ b/pandas/core/indexes/period.py
@@ -504,7 +504,7 @@ def get_loc(self, key, method=None, tolerance=None):
 
             try:
                 asdt, reso = parse_time_string(key, self.freq)
-            except DateParseError as err:
+            except (ValueError, DateParseError) as err:
                 # A string with invalid format
                 raise KeyError(f"Cannot interpret '{key}' as period") from err
 
diff --git a/pandas/tests/indexes/period/test_indexing.py b/pandas/tests/indexes/period/test_indexing.py
index b61d1d903f89a..d2499b85ad181 100644
--- a/pandas/tests/indexes/period/test_indexing.py
+++ b/pandas/tests/indexes/period/test_indexing.py
@@ -359,6 +359,22 @@ def test_get_loc2(self):
                 ],
             )
 
+    def test_get_loc_invalid_string_raises_keyerror(self):
+        # GH#34240
+        pi = pd.period_range("2000", periods=3, name="A")
+        with pytest.raises(KeyError, match="A"):
+            pi.get_loc("A")
+
+        ser = pd.Series([1, 2, 3], index=pi)
+        with pytest.raises(KeyError, match="A"):
+            ser.loc["A"]
+
+        with pytest.raises(KeyError, match="A"):
+            ser["A"]
+
+        assert "A" not in ser
+        assert "A" not in pi
+
 
 class TestGetIndexer:
     def test_get_indexer(self):