diff --git a/pandas/_testing/_warnings.py b/pandas/_testing/_warnings.py
index 5153118e9b142..5f01996d0390d 100644
--- a/pandas/_testing/_warnings.py
+++ b/pandas/_testing/_warnings.py
@@ -106,6 +106,7 @@ def _assert_caught_expected_warning(
     """Assert that there was the expected warning among the caught warnings."""
     saw_warning = False
     matched_message = False
+    unmatched_messages = []
 
     for actual_warning in caught_warnings:
         if issubclass(actual_warning.category, expected_warning):
@@ -116,8 +117,11 @@ def _assert_caught_expected_warning(
             ):
                 _assert_raised_with_correct_stacklevel(actual_warning)
 
-            if match is not None and re.search(match, str(actual_warning.message)):
-                matched_message = True
+            if match is not None:
+                if re.search(match, str(actual_warning.message)):
+                    matched_message = True
+                else:
+                    unmatched_messages.append(actual_warning.message)
 
     if not saw_warning:
         raise AssertionError(
@@ -128,7 +132,8 @@ def _assert_caught_expected_warning(
     if match and not matched_message:
         raise AssertionError(
             f"Did not see warning {repr(expected_warning.__name__)} "
-            f"matching {match}"
+            f"matching '{match}'. The emitted warning messages are "
+            f"{unmatched_messages}"
         )
 
 
diff --git a/pandas/tests/util/test_assert_produces_warning.py b/pandas/tests/util/test_assert_produces_warning.py
index 45699fa1294d3..e3eb083e1a383 100644
--- a/pandas/tests/util/test_assert_produces_warning.py
+++ b/pandas/tests/util/test_assert_produces_warning.py
@@ -94,19 +94,49 @@ def test_catch_warning_category_and_match(category, message, match):
         warnings.warn(message, category)
 
 
-@pytest.mark.parametrize(
-    "message, match",
-    [
-        ("Warning message", "Not this message"),
-        ("Warning message", "warning"),
-        ("Warning message", r"\d+"),
-    ],
-)
-def test_fail_to_match(category, message, match):
-    msg = f"Did not see warning {repr(category.__name__)} matching"
-    with pytest.raises(AssertionError, match=msg):
+def test_fail_to_match_runtime_warning():
+    category = RuntimeWarning
+    match = "Did not see this warning"
+    unmatched = (
+        r"Did not see warning 'RuntimeWarning' matching 'Did not see this warning'. "
+        r"The emitted warning messages are "
+        r"\[RuntimeWarning\('This is not a match.'\), "
+        r"RuntimeWarning\('Another unmatched warning.'\)\]"
+    )
+    with pytest.raises(AssertionError, match=unmatched):
+        with tm.assert_produces_warning(category, match=match):
+            warnings.warn("This is not a match.", category)
+            warnings.warn("Another unmatched warning.", category)
+
+
+def test_fail_to_match_future_warning():
+    category = FutureWarning
+    match = "Warning"
+    unmatched = (
+        r"Did not see warning 'FutureWarning' matching 'Warning'. "
+        r"The emitted warning messages are "
+        r"\[FutureWarning\('This is not a match.'\), "
+        r"FutureWarning\('Another unmatched warning.'\)\]"
+    )
+    with pytest.raises(AssertionError, match=unmatched):
+        with tm.assert_produces_warning(category, match=match):
+            warnings.warn("This is not a match.", category)
+            warnings.warn("Another unmatched warning.", category)
+
+
+def test_fail_to_match_resource_warning():
+    category = ResourceWarning
+    match = r"\d+"
+    unmatched = (
+        r"Did not see warning 'ResourceWarning' matching '\\d\+'. "
+        r"The emitted warning messages are "
+        r"\[ResourceWarning\('This is not a match.'\), "
+        r"ResourceWarning\('Another unmatched warning.'\)\]"
+    )
+    with pytest.raises(AssertionError, match=unmatched):
         with tm.assert_produces_warning(category, match=match):
-            warnings.warn(message, category)
+            warnings.warn("This is not a match.", category)
+            warnings.warn("Another unmatched warning.", category)
 
 
 def test_fail_to_catch_actual_warning(pair_different_warnings):