diff --git a/mmengine/config/config.py b/mmengine/config/config.py
index f9925dd70406c0d9a140461877983cd11abc75f4..71d1bf68f60719ab5239657888c6ab44de4d5e0d 100644
--- a/mmengine/config/config.py
+++ b/mmengine/config/config.py
@@ -5,6 +5,7 @@ import os
 import os.path as osp
 import platform
 import shutil
+import sys
 import tempfile
 import types
 import uuid
@@ -180,7 +181,15 @@ class Config:
             try:
                 import_modules_from_strings(**cfg_dict['custom_imports'])
             except ImportError as e:
-                raise ImportError('Failed to custom import!') from e
+                err_msg = (
+                    'Failed to import custom modules from '
+                    f"{cfg_dict['custom_imports']}, the current sys.path is: ")
+                for p in sys.path:
+                    err_msg += f'\n    {p}'
+                err_msg += (
+                    '\nYou should set `PYTHONPATH` to make `sys.path` include '
+                    'the directory which contains your custom module')
+                raise ImportError(err_msg) from e
         return Config(
             cfg_dict,
             cfg_text=cfg_text,
diff --git a/tests/test_config/test_config.py b/tests/test_config/test_config.py
index d784c5d97c01246b294d1e85cbffd7c42f65ed52..36a47bc6dd7801de767d7bf298e280cf07f6a9ed 100644
--- a/tests/test_config/test_config.py
+++ b/tests/test_config/test_config.py
@@ -65,8 +65,14 @@ class TestConfig:
         # If import successfully, os.environ[''TEST_VALUE''] will be
         # set to 'test'
         assert os.environ.pop('TEST_VALUE') == 'test'
+        sys.path.pop()
+
         Config.fromfile(cfg_file, import_custom_modules=False)
         assert 'TEST_VALUE' not in os.environ
+        sys.modules.pop('test_custom_import_module')
+        with pytest.raises(
+                ImportError, match='Failed to import custom modules from'):
+            Config.fromfile(cfg_file, import_custom_modules=True)
 
     @pytest.mark.parametrize('file_format', ['py', 'json', 'yaml'])
     def test_fromstring(self, file_format):