diff --git a/Lib/zoneinfo/_common.py b/Lib/zoneinfo/_common.py
index 03cc42149f9b74..f9c38280eabd72 100644
--- a/Lib/zoneinfo/_common.py
+++ b/Lib/zoneinfo/_common.py
@@ -14,13 +14,28 @@ def load_tzdata(key):
         if path.is_dir():
             raise IsADirectoryError
         return path.open("rb")
-    except (ImportError, FileNotFoundError, UnicodeEncodeError, IsADirectoryError):
-        # There are four types of exception that can be raised that all amount
-        # to "we cannot find this key":
+    except ImportError:
+        # If package_name doesn't exist, it means tzdata is not installed
+        # or there's an error in the folder name like Amrica/New_York
+        exc = ZoneInfoNotFoundError(f"No time zone found with key {key}")
+        
+        # Check if tzdata is actually missing
+        try:
+            import tzdata
+        except ImportError:
+            # tzdata is not installed, provide installation instructions
+            exc.add_note("This error may occur if timezone data is not available.")
+            exc.add_note("Try:")
+            exc.add_note("  - Installing the tzdata package: python -m pip install tzdata")
+            exc.add_note("  - Verifying the timezone key is correct (for example, 'America/New_York')")
+            exc.add_note("")
+            exc.add_note("For more information, see:")
+            exc.add_note("https://docs.python.org/3/library/zoneinfo.html")
+        
+        raise exc
+    except (FileNotFoundError, UnicodeEncodeError, IsADirectoryError):
+        # Other errors that amount to "we cannot find this key":
         #
-        # ImportError: If package_name doesn't exist (e.g. if tzdata is not
-        #   installed, or if there's an error in the folder name like
-        #   Amrica/New_York)
         # FileNotFoundError: If resource_name doesn't exist in the package
         #   (e.g. Europe/Krasnoy)
         # UnicodeEncodeError: If package_name or resource_name are not UTF-8,
diff --git a/Misc/NEWS.d/next/Library/2025-10-13-21-42-05.gh-issue-140039.abcdef.rst b/Misc/NEWS.d/next/Library/2025-10-13-21-42-05.gh-issue-140039.abcdef.rst
new file mode 100644
index 00000000000000..b777aaa596df25
--- /dev/null
+++ b/Misc/NEWS.d/next/Library/2025-10-13-21-42-05.gh-issue-140039.abcdef.rst
@@ -0,0 +1,4 @@
+Improve error message in :mod:`zoneinfo` when timezone data is not found due
+to missing :pypi:`tzdata` package. The new error message provides clear
+instructions on how to resolve the issue, including installing the package
+and links to documentation. Patch by daram62.
\ No newline at end of file