diff --git a/pkg/registry/apis/datasource/sub_query.go b/pkg/registry/apis/datasource/sub_query.go
index 6ab00ac5c78..51f8b90d430 100644
--- a/pkg/registry/apis/datasource/sub_query.go
+++ b/pkg/registry/apis/datasource/sub_query.go
@@ -2,6 +2,7 @@ package datasource
 
 import (
 	"context"
+	"errors"
 	"fmt"
 	"net/http"
 
@@ -9,10 +10,14 @@ import (
 	data "github.com/grafana/grafana-plugin-sdk-go/experimental/apis/data/v0alpha1"
 	query "github.com/grafana/grafana/pkg/apis/query/v0alpha1"
 	query_headers "github.com/grafana/grafana/pkg/registry/apis/query"
+	"github.com/grafana/grafana/pkg/services/datasources"
 	"k8s.io/apimachinery/pkg/runtime"
+	"k8s.io/apimachinery/pkg/runtime/schema"
 	"k8s.io/apiserver/pkg/registry/rest"
 
 	"github.com/grafana/grafana/pkg/web"
+
+	k8serrors "k8s.io/apimachinery/pkg/api/errors"
 )
 
 type subQueryREST struct {
@@ -50,9 +55,21 @@ func (r *subQueryREST) NewConnectOptions() (runtime.Object, bool, string) {
 
 func (r *subQueryREST) Connect(ctx context.Context, name string, opts runtime.Object, responder rest.Responder) (http.Handler, error) {
 	pluginCtx, err := r.builder.getPluginContext(ctx, name)
+
 	if err != nil {
+		if errors.Is(err, datasources.ErrDataSourceNotFound) {
+			return nil, k8serrors.NewNotFound(
+				schema.GroupResource{
+					Group:    r.builder.connectionResourceInfo.GroupResource().Group,
+					Resource: r.builder.connectionResourceInfo.GroupResource().Resource,
+				},
+				name,
+			)
+		}
+
 		return nil, err
 	}
+
 	return http.HandlerFunc(func(w http.ResponseWriter, req *http.Request) {
 		dqr := data.QueryDataRequest{}
 		err := web.Bind(req, &dqr)
diff --git a/pkg/registry/apis/datasource/sub_query_test.go b/pkg/registry/apis/datasource/sub_query_test.go
index 684f5f25cb1..6b3dc54b970 100644
--- a/pkg/registry/apis/datasource/sub_query_test.go
+++ b/pkg/registry/apis/datasource/sub_query_test.go
@@ -2,6 +2,7 @@ package datasource
 
 import (
 	"context"
+	"errors"
 	"fmt"
 	"net/http"
 	"net/http/httptest"
@@ -10,8 +11,10 @@ import (
 	"github.com/grafana/grafana-plugin-sdk-go/backend"
 	"github.com/grafana/grafana/pkg/apis/datasource/v0alpha1"
 	"github.com/grafana/grafana/pkg/infra/log"
+	"github.com/grafana/grafana/pkg/services/datasources"
 	"github.com/grafana/grafana/pkg/services/ngalert/models"
 	"github.com/stretchr/testify/require"
+	k8serrors "k8s.io/apimachinery/pkg/api/errors"
 	"k8s.io/apimachinery/pkg/runtime"
 )
 
@@ -60,6 +63,26 @@ func TestSubQueryConnect(t *testing.T) {
 	}, *sqr.builder.client.(mockClient).lastCalledWithHeaders)
 }
 
+func TestSubQueryConnectWhenDatasourceNotFound(t *testing.T) {
+	sqr := subQueryREST{
+		builder: &DataSourceAPIBuilder{
+			client: mockClient{
+				lastCalledWithHeaders: &map[string]string{},
+			},
+			datasources:     mockDatasources{},
+			contextProvider: mockContextProvider{},
+			log:             log.NewNopLogger(),
+		},
+	}
+
+	mr := mockResponder{}
+	_, err := sqr.Connect(context.Background(), "dsname-that-does-not-exist", nil, mr)
+	require.Error(t, err)
+	var statusErr *k8serrors.StatusError
+	require.True(t, errors.As(err, &statusErr))
+	require.Equal(t, int32(404), statusErr.Status().Code)
+}
+
 type mockClient struct {
 	lastCalledWithHeaders *map[string]string
 }
@@ -108,7 +131,10 @@ func (m mockDatasources) List(ctx context.Context) (*v0alpha1.DataSourceConnecti
 // Return settings (decrypted!) for a specific plugin
 // This will require "query" permission for the user in context
 func (m mockDatasources) GetInstanceSettings(ctx context.Context, uid string) (*backend.DataSourceInstanceSettings, error) {
-	return nil, nil
+	if uid == "dsname" {
+		return nil, nil
+	}
+	return nil, datasources.ErrDataSourceNotFound
 }
 
 type mockContextProvider struct {