diff --git a/python/ray/dataframe/dataframe.py b/python/ray/dataframe/dataframe.py
index 561111677ee8..e00cb09732cd 100644
--- a/python/ray/dataframe/dataframe.py
+++ b/python/ray/dataframe/dataframe.py
@@ -806,17 +806,22 @@ def dropna(self, axis=0, how='any', thresh=None, subset=None,
         if how is None and thresh is None:
             raise TypeError('must specify how or thresh')
 
+        indices = None
         if subset is not None:
-            subset = set(subset)
-
             if axis == 1:
-                subset = [item for item in self.index if item in subset]
+                indices = self.index.get_indexer_for(subset)
+                check = indices == -1
+                if check.any():
+                    raise KeyError(list(np.compress(check, subset)))
             else:
-                subset = [item for item in self.columns if item in subset]
+                indices = self.columns.get_indexer_for(subset)
+                check = indices == -1
+                if check.any():
+                    raise KeyError(list(np.compress(check, subset)))
 
         def dropna_helper(df):
             new_df = df.dropna(axis=axis, how=how, thresh=thresh,
-                               subset=subset, inplace=False)
+                               subset=indices, inplace=False)
 
             if axis == 1:
                 new_index = new_df.columns
diff --git a/python/ray/dataframe/test/test_dataframe.py b/python/ray/dataframe/test/test_dataframe.py
index 1fa63465d87a..88b1ec1c080c 100644
--- a/python/ray/dataframe/test/test_dataframe.py
+++ b/python/ray/dataframe/test/test_dataframe.py
@@ -842,10 +842,15 @@ def test_dense_nan_df():
                           [np.nan, np.nan, np.nan, 5]],
                          columns=list('ABCD'))
 
+    column_subsets = [list('AD'), list('BC'), list('CD')]
+    row_subsets = [[0, 1], [0, 1, 2], [2, 0]]
+
     test_dropna(ray_df, pd_df)
     test_dropna_inplace(ray_df, pd_df)
     test_dropna_multiple_axes(ray_df, pd_df)
     test_dropna_multiple_axes_inplace(ray_df, pd_df)
+    test_dropna_subset(ray_df, pd_df, column_subsets, row_subsets)
+    test_dropna_subset_error(ray_df)
 
 
 @pytest.fixture
@@ -1402,6 +1407,40 @@ def test_dropna_multiple_axes_inplace(ray_df, pd_df):
     assert ray_df_equals_pandas(ray_df_copy, pd_df_copy)
 
 
+@pytest.fixture
+def test_dropna_subset(ray_df, pd_df, column_subsets, row_subsets):
+    for subset in column_subsets:
+        assert ray_df_equals_pandas(
+            ray_df.dropna(how='all', subset=subset),
+            pd_df.dropna(how='all', subset=subset)
+        )
+
+        assert ray_df_equals_pandas(
+            ray_df.dropna(how='any', subset=subset),
+            pd_df.dropna(how='any', subset=subset)
+        )
+
+    for subset in row_subsets:
+        assert ray_df_equals_pandas(
+            ray_df.dropna(how='all', axis=1, subset=subset),
+            pd_df.dropna(how='all', axis=1, subset=subset)
+        )
+
+        assert ray_df_equals_pandas(
+            ray_df.dropna(how='any', axis=1, subset=subset),
+            pd_df.dropna(how='any', axis=1, subset=subset)
+        )
+
+
+@pytest.fixture
+def test_dropna_subset_error(ray_df):
+    with pytest.raises(KeyError):
+        ray_df.dropna(subset=list('EF'))
+
+    with pytest.raises(KeyError):
+        ray_df.dropna(axis=1, subset=[4, 5])
+
+
 def test_duplicated():
     ray_df = create_test_dataframe()