Index: llvm/include/llvm/ProfileData/Coverage/CoverageMapping.h
===================================================================
--- llvm/include/llvm/ProfileData/Coverage/CoverageMapping.h
+++ llvm/include/llvm/ProfileData/Coverage/CoverageMapping.h
@@ -603,7 +603,7 @@
   /// Load the coverage mapping from the given object files and profile. If
   /// \p Arches is non-empty, it must specify an architecture for each object.
   /// Ignores non-instrumented object files unless all are not instrumented.
-  static Expected<std::unique_ptr<CoverageMapping>>
+  static std::pair<Expected<std::unique_ptr<CoverageMapping>>, StringRef>
   load(ArrayRef<StringRef> ObjectFilenames, StringRef ProfileFilename,
        ArrayRef<StringRef> Arches = None, StringRef CompilationDir = "");
 
Index: llvm/lib/ProfileData/Coverage/CoverageMapping.cpp
===================================================================
--- llvm/lib/ProfileData/Coverage/CoverageMapping.cpp
+++ llvm/lib/ProfileData/Coverage/CoverageMapping.cpp
@@ -343,13 +343,13 @@
       });
 }
 
-Expected<std::unique_ptr<CoverageMapping>>
+std::pair<Expected<std::unique_ptr<CoverageMapping>>, StringRef>
 CoverageMapping::load(ArrayRef<StringRef> ObjectFilenames,
                       StringRef ProfileFilename, ArrayRef<StringRef> Arches,
                       StringRef CompilationDir) {
   auto ProfileReaderOrErr = IndexedInstrProfReader::create(ProfileFilename);
   if (Error E = ProfileReaderOrErr.takeError())
-    return std::move(E);
+    return {std::move(E), ProfileFilename};
   auto ProfileReader = std::move(ProfileReaderOrErr.get());
   auto Coverage = std::unique_ptr<CoverageMapping>(new CoverageMapping());
   bool DataFound = false;
@@ -358,7 +358,7 @@
     auto CovMappingBufOrErr = MemoryBuffer::getFileOrSTDIN(
         File.value(), /*IsText=*/false, /*RequiresNullTerminator=*/false);
     if (std::error_code EC = CovMappingBufOrErr.getError())
-      return errorCodeToError(EC);
+      return {errorCodeToError(EC), File.value()};
     StringRef Arch = Arches.empty() ? StringRef() : Arches[File.index()];
     MemoryBufferRef CovMappingBufRef =
         CovMappingBufOrErr.get()->getMemBufferRef();
@@ -368,7 +368,7 @@
     if (Error E = CoverageReadersOrErr.takeError()) {
       E = handleMaybeNoDataFoundError(std::move(E));
       if (E)
-        return std::move(E);
+        return {std::move(E), File.value()};
       // E == success (originally a no_data_found error).
       continue;
     }
@@ -378,13 +378,13 @@
       Readers.push_back(std::move(Reader));
     DataFound |= !Readers.empty();
     if (Error E = loadFromReaders(Readers, *ProfileReader, *Coverage))
-      return std::move(E);
+      return {std::move(E), File.value()};
   }
   // If no readers were created, either no objects were provided or none of them
   // had coverage data. Return an error in the latter case.
   if (!DataFound && !ObjectFilenames.empty())
-    return make_error<CoverageMapError>(coveragemap_error::no_data_found);
-  return std::move(Coverage);
+    return {make_error<CoverageMapError>(coveragemap_error::no_data_found), ""};
+  return {std::move(Coverage), ""};
 }
 
 namespace {
Index: llvm/test/tools/llvm-cov/missing-binaries.test
===================================================================
--- /dev/null
+++ llvm/test/tools/llvm-cov/missing-binaries.test
@@ -0,0 +1,4 @@
+RUN: llvm-profdata merge %S/Inputs/binary-formats.proftext -o %t.profdata
+RUN: not llvm-cov show -instr-profile=%t.profdata --object=%t.nonexistent.binary.1 --object=%t.nonexistent.binary.2 2>&1 | FileCheck %s
+
+CHECK: nonexistent.binary.1: Failed to load coverage:
Index: llvm/tools/llvm-cov/CodeCoverage.cpp
===================================================================
--- llvm/tools/llvm-cov/CodeCoverage.cpp
+++ llvm/tools/llvm-cov/CodeCoverage.cpp
@@ -432,15 +432,15 @@
     if (modifiedTimeGT(ObjectFilename, PGOFilename))
       warning("profile data may be out of date - object is newer",
               ObjectFilename);
-  auto CoverageOrErr =
+  auto CoveragePair =
       CoverageMapping::load(ObjectFilenames, PGOFilename, CoverageArches,
                             ViewOpts.CompilationDirectory);
-  if (Error E = CoverageOrErr.takeError()) {
+  if (Error E = CoveragePair.first.takeError()) {
     error("Failed to load coverage: " + toString(std::move(E)),
-          join(ObjectFilenames.begin(), ObjectFilenames.end(), ", "));
+          CoveragePair.second);
     return nullptr;
   }
-  auto Coverage = std::move(CoverageOrErr.get());
+  auto Coverage = std::move(CoveragePair.first.get());
   unsigned Mismatched = Coverage->getMismatchedCount();
   if (Mismatched) {
     warning(Twine(Mismatched) + " functions have mismatched data");