diff --git a/asyncpg/protocol/coreproto.pxd b/asyncpg/protocol/coreproto.pxd
index 34c7c712..fa657231 100644
--- a/asyncpg/protocol/coreproto.pxd
+++ b/asyncpg/protocol/coreproto.pxd
@@ -80,6 +80,7 @@ cdef class CoreProtocol:
 
         ConnectionStatus con_status
         ProtocolState state
+        ProtocolState cancelled_from_state
         TransactionStatus xact_status
 
         str encoding
diff --git a/asyncpg/protocol/coreproto.pyx b/asyncpg/protocol/coreproto.pyx
index da96c412..c978a675 100644
--- a/asyncpg/protocol/coreproto.pyx
+++ b/asyncpg/protocol/coreproto.pyx
@@ -33,6 +33,7 @@ cdef class CoreProtocol:
         self.con_params = con_params
         self.con_status = CONNECTION_BAD
         self.state = PROTOCOL_IDLE
+        self.cancelled_from_state = PROTOCOL_IDLE
         self.xact_status = PQTRANS_IDLE
         self.encoding = 'utf-8'
         # type of `scram` is `SCRAMAuthentcation`
@@ -835,11 +836,13 @@ cdef class CoreProtocol:
                 pass
             else:
                 self.state = new_state
+            self.cancelled_from_state = PROTOCOL_IDLE
 
         elif new_state == PROTOCOL_FAILED:
             self.state = PROTOCOL_FAILED
 
         elif new_state == PROTOCOL_CANCELLED:
+            self.cancelled_from_state = self.state
             self.state = PROTOCOL_CANCELLED
 
         elif new_state == PROTOCOL_TERMINATING:
diff --git a/asyncpg/protocol/protocol.pyx b/asyncpg/protocol/protocol.pyx
index acce4e9f..be1b65c7 100644
--- a/asyncpg/protocol/protocol.pyx
+++ b/asyncpg/protocol/protocol.pyx
@@ -851,39 +851,46 @@ cdef class BaseProtocol(CoreProtocol):
             waiter.set_exception(exc)
             return
 
+        state = self.state
+        if state == PROTOCOL_CANCELLED:
+            state = self.cancelled_from_state
+            if state == PROTOCOL_IDLE:
+                waiter.set_exception(asyncio.CancelledError())
+                return
+
         try:
-            if self.state == PROTOCOL_AUTH:
+            if state == PROTOCOL_AUTH:
                 self._on_result__connect(waiter)
 
-            elif self.state == PROTOCOL_PREPARE:
+            elif state == PROTOCOL_PREPARE:
                 self._on_result__prepare(waiter)
 
-            elif self.state == PROTOCOL_BIND_EXECUTE:
+            elif state == PROTOCOL_BIND_EXECUTE:
                 self._on_result__bind_and_exec(waiter)
 
-            elif self.state == PROTOCOL_BIND_EXECUTE_MANY:
+            elif state == PROTOCOL_BIND_EXECUTE_MANY:
                 self._on_result__bind_and_exec(waiter)
 
-            elif self.state == PROTOCOL_EXECUTE:
+            elif state == PROTOCOL_EXECUTE:
                 self._on_result__bind_and_exec(waiter)
 
-            elif self.state == PROTOCOL_BIND:
+            elif state == PROTOCOL_BIND:
                 self._on_result__bind(waiter)
 
-            elif self.state == PROTOCOL_CLOSE_STMT_PORTAL:
+            elif state == PROTOCOL_CLOSE_STMT_PORTAL:
                 self._on_result__close_stmt_or_portal(waiter)
 
-            elif self.state == PROTOCOL_SIMPLE_QUERY:
+            elif state == PROTOCOL_SIMPLE_QUERY:
                 self._on_result__simple_query(waiter)
 
-            elif (self.state == PROTOCOL_COPY_OUT_DATA or
-                    self.state == PROTOCOL_COPY_OUT_DONE):
+            elif (state == PROTOCOL_COPY_OUT_DATA or
+                    state == PROTOCOL_COPY_OUT_DONE):
                 self._on_result__copy_out(waiter)
 
-            elif self.state == PROTOCOL_COPY_IN_DATA:
+            elif state == PROTOCOL_COPY_IN_DATA:
                 self._on_result__copy_in(waiter)
 
-            elif self.state == PROTOCOL_TERMINATING:
+            elif state == PROTOCOL_TERMINATING:
                 # We are waiting for the connection to drop, so
                 # ignore any stray results at this point.
                 pass