diff --git a/Doc/c-api/exceptions.rst b/Doc/c-api/exceptions.rst
index c7e3cd9463e5d7..57b64ba5efd7f3 100644
--- a/Doc/c-api/exceptions.rst
+++ b/Doc/c-api/exceptions.rst
@@ -124,7 +124,10 @@ Raising exceptions
 
 These functions help you set the current thread's error indicator.
 For convenience, some of these functions will always return a
-``NULL`` pointer for use in a ``return`` statement.
+``NULL`` pointer for use in a ``return`` statement. Also, for all of the
+functions in this subsection, if an exception has already been caught,
+that exception will be implicitly chained (i.e. the last caught exception
+will become the new exception's :attr:`~BaseException.__context__`).
 
 
 .. c:function:: void PyErr_SetString(PyObject *type, const char *message)
diff --git a/Misc/NEWS.d/next/Documentation/2020-05-22-20-55-23.bpo-23188.Al3gI2.rst b/Misc/NEWS.d/next/Documentation/2020-05-22-20-55-23.bpo-23188.Al3gI2.rst
new file mode 100644
index 00000000000000..14c0ce88090341
--- /dev/null
+++ b/Misc/NEWS.d/next/Documentation/2020-05-22-20-55-23.bpo-23188.Al3gI2.rst
@@ -0,0 +1,2 @@
+Mention that :c:func:`PyErr_SetString`, :c:func:`PyErr_SetObject`, and
+friends implicitly chain exceptions.