diff --git a/pygmt/figure.py b/pygmt/figure.py
index c3159b5d79f..76d0b617bee 100644
--- a/pygmt/figure.py
+++ b/pygmt/figure.py
@@ -4,6 +4,7 @@
 import base64
 import os
 import warnings
+from pathlib import Path
 from tempfile import TemporaryDirectory
 
 try:
@@ -251,6 +252,13 @@ def psconvert(self, icc_gray=False, **kwargs):
             )
         prefix_arg = f'-F"{prefix}"'
 
+        # check if the parent directory exists
+        prefix_path = Path(prefix).parent
+        if not prefix_path.exists():
+            raise FileNotFoundError(
+                f"No such directory: '{prefix_path}', please create it first."
+            )
+
         with Session() as lib:
             lib.call_module(
                 module="psconvert", args=f"{prefix_arg} {build_arg_string(kwargs)}"
diff --git a/pygmt/tests/test_figure.py b/pygmt/tests/test_figure.py
index 2d5949eaddb..900c70d74ad 100644
--- a/pygmt/tests/test_figure.py
+++ b/pygmt/tests/test_figure.py
@@ -89,6 +89,17 @@ def test_figure_savefig_exists():
         os.remove(fname)
 
 
+def test_figure_savefig_directory_nonexists():
+    """
+    Make sure that Figure.savefig() raises a FileNotFoundError when the parent
+    directory doesn't exist.
+    """
+    fig = Figure()
+    fig.basemap(region="10/70/-300/800", projection="X3i/5i", frame="af")
+    with pytest.raises(FileNotFoundError, match="No such directory:"):
+        fig.savefig("a-nonexist-directory/test_figure_savefig_directory_nonexists.png")
+
+
 def test_figure_savefig_unknown_extension():
     """
     Check that an error is raised when an unknown extension is passed.