diff --git a/llvm/lib/ProfileData/Coverage/CoverageMapping.cpp b/llvm/lib/ProfileData/Coverage/CoverageMapping.cpp
--- a/llvm/lib/ProfileData/Coverage/CoverageMapping.cpp
+++ b/llvm/lib/ProfileData/Coverage/CoverageMapping.cpp
@@ -349,7 +349,7 @@
                       StringRef CompilationDir) {
   auto ProfileReaderOrErr = IndexedInstrProfReader::create(ProfileFilename);
   if (Error E = ProfileReaderOrErr.takeError())
-    return std::move(E);
+    return createFileError(ProfileFilename, std::move(E));
   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 createFileError(File.value(), errorCodeToError(EC));
     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 createFileError(File.value(), std::move(E));
       // E == success (originally a no_data_found error).
       continue;
     }
@@ -378,12 +378,14 @@
       Readers.push_back(std::move(Reader));
     DataFound |= !Readers.empty();
     if (Error E = loadFromReaders(Readers, *ProfileReader, *Coverage))
-      return std::move(E);
+      return createFileError(File.value(), std::move(E));
   }
   // 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 createFileError(
+        join(ObjectFilenames.begin(), ObjectFilenames.end(), ", "),
+        make_error<CoverageMapError>(coveragemap_error::no_data_found));
   return std::move(Coverage);
 }
 
diff --git a/llvm/test/tools/llvm-cov/missing-binaries.test b/llvm/test/tools/llvm-cov/missing-binaries.test
new file mode 100644
--- /dev/null
+++ b/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: Failed to load coverage: '{{.*}}nonexistent.binary.1':
diff --git a/llvm/test/tools/llvm-cov/universal-binary.c b/llvm/test/tools/llvm-cov/universal-binary.c
--- a/llvm/test/tools/llvm-cov/universal-binary.c
+++ b/llvm/test/tools/llvm-cov/universal-binary.c
@@ -14,7 +14,7 @@
 
 // RUN: not llvm-cov show %S/Inputs/universal-binary -instr-profile %t.profdata -path-equivalence=/tmp,%S %s 2>&1 | FileCheck --check-prefix=WRONG-ARCH %s
 // RUN: not llvm-cov show %S/Inputs/universal-binary -instr-profile %t.profdata -path-equivalence=/tmp,%S %s -arch i386 2>&1 | FileCheck --check-prefix=WRONG-ARCH %s
-// WRONG-ARCH: Failed to load coverage: `-arch` specifier is invalid or missing for universal binary
+// WRONG-ARCH: Failed to load coverage: '{{.*}}universal-binary': `-arch` specifier is invalid or missing for universal binary
 
 // RUN: not llvm-cov show %S/Inputs/universal-binary -instr-profile %t.profdata -path-equivalence=/tmp,%S %s -arch definitly_a_made_up_architecture 2>&1 | FileCheck --check-prefix=MADE-UP-ARCH %s
 // MADE-UP-ARCH: Unknown architecture: definitly_a_made_up_architecture
diff --git a/llvm/test/tools/llvm-cov/warnings.h b/llvm/test/tools/llvm-cov/warnings.h
--- a/llvm/test/tools/llvm-cov/warnings.h
+++ b/llvm/test/tools/llvm-cov/warnings.h
@@ -13,4 +13,4 @@
 // FAKE-FUNC-STDERR: Could not read coverage for '{{.*}}'.
 
 // RUN: not llvm-cov report %S/Inputs/malformedRegions.covmapping -instr-profile %S/Inputs/elf_binary_comdat.profdata 2>&1 | FileCheck %s -check-prefix=MALFORMED-REGION
-// MALFORMED-REGION: malformedRegions.covmapping: Failed to load coverage: Malformed coverage data
+// MALFORMED-REGION: Failed to load coverage: '{{.*}}malformedRegions.covmapping': Malformed coverage data
diff --git a/llvm/tools/llvm-cov/CodeCoverage.cpp b/llvm/tools/llvm-cov/CodeCoverage.cpp
--- a/llvm/tools/llvm-cov/CodeCoverage.cpp
+++ b/llvm/tools/llvm-cov/CodeCoverage.cpp
@@ -436,8 +436,7 @@
       CoverageMapping::load(ObjectFilenames, PGOFilename, CoverageArches,
                             ViewOpts.CompilationDirectory);
   if (Error E = CoverageOrErr.takeError()) {
-    error("Failed to load coverage: " + toString(std::move(E)),
-          join(ObjectFilenames.begin(), ObjectFilenames.end(), ", "));
+    error("Failed to load coverage: " + toString(std::move(E)));
     return nullptr;
   }
   auto Coverage = std::move(CoverageOrErr.get());