diff --git a/src/ensure.rs b/src/ensure.rs
index 96a810a..80bdab7 100644
--- a/src/ensure.rs
+++ b/src/ensure.rs
@@ -818,17 +818,17 @@ macro_rules! __fallback_ensure {
     };
     ($cond:expr, $msg:literal $(,)?) => {
         if !$cond {
-            return $crate::private::Err($crate::anyhow!($msg));
+            return $crate::private::Err($crate::__anyhow!($msg));
         }
     };
     ($cond:expr, $err:expr $(,)?) => {
         if !$cond {
-            return $crate::private::Err($crate::anyhow!($err));
+            return $crate::private::Err($crate::__anyhow!($err));
         }
     };
     ($cond:expr, $fmt:expr, $($arg:tt)*) => {
         if !$cond {
-            return $crate::private::Err($crate::anyhow!($fmt, $($arg)*));
+            return $crate::private::Err($crate::__anyhow!($fmt, $($arg)*));
         }
     };
 }
diff --git a/src/error.rs b/src/error.rs
index 441b61c..0971146 100644
--- a/src/error.rs
+++ b/src/error.rs
@@ -26,6 +26,7 @@ impl Error {
     #[cfg(feature = "std")]
     #[cfg_attr(doc_cfg, doc(cfg(feature = "std")))]
     #[cold]
+    #[must_use]
     pub fn new<E>(error: E) -> Self
     where
         E: StdError + Send + Sync + 'static,
@@ -72,6 +73,7 @@ impl Error {
     /// }
     /// ```
     #[cold]
+    #[must_use]
     pub fn msg<M>(message: M) -> Self
     where
         M: Display + Debug + Send + Sync + 'static,
@@ -293,6 +295,7 @@ impl Error {
     /// }
     /// ```
     #[cold]
+    #[must_use]
     pub fn context<C>(self, context: C) -> Self
     where
         C: Display + Send + Sync + 'static,
diff --git a/src/lib.rs b/src/lib.rs
index 0cb1ed6..b595300 100644
--- a/src/lib.rs
+++ b/src/lib.rs
@@ -668,4 +668,12 @@ pub mod private {
             Error::msg(fmt::format(args))
         }
     }
+
+    #[doc(hidden)]
+    #[inline]
+    #[cold]
+    #[must_use]
+    pub fn must_use(error: Error) -> Error {
+        error
+    }
 }
diff --git a/src/macros.rs b/src/macros.rs
index 89dc4d2..bbd61d4 100644
--- a/src/macros.rs
+++ b/src/macros.rs
@@ -54,13 +54,13 @@
 #[macro_export]
 macro_rules! bail {
     ($msg:literal $(,)?) => {
-        return $crate::private::Err($crate::anyhow!($msg))
+        return $crate::private::Err($crate::__anyhow!($msg))
     };
     ($err:expr $(,)?) => {
-        return $crate::private::Err($crate::anyhow!($err))
+        return $crate::private::Err($crate::__anyhow!($err))
     };
     ($fmt:expr, $($arg:tt)*) => {
-        return $crate::private::Err($crate::anyhow!($fmt, $($arg)*))
+        return $crate::private::Err($crate::__anyhow!($fmt, $($arg)*))
     };
 }
 
@@ -75,13 +75,13 @@ macro_rules! bail {
         return $crate::private::Err($crate::Error::msg("pattern does not contain `{}`"))
     };
     ($msg:literal $(,)?) => {
-        return $crate::private::Err($crate::anyhow!($msg))
+        return $crate::private::Err($crate::__anyhow!($msg))
     };
     ($err:expr $(,)?) => {
-        return $crate::private::Err($crate::anyhow!($err))
+        return $crate::private::Err($crate::__anyhow!($err))
     };
     ($fmt:expr, $($arg:tt)*) => {
-        return $crate::private::Err($crate::anyhow!($fmt, $($arg)*))
+        return $crate::private::Err($crate::__anyhow!($fmt, $($arg)*))
     };
 }
 
@@ -145,17 +145,17 @@ macro_rules! ensure {
     };
     ($cond:expr, $msg:literal $(,)?) => {
         if !$cond {
-            return $crate::private::Err($crate::anyhow!($msg));
+            return $crate::private::Err($crate::__anyhow!($msg));
         }
     };
     ($cond:expr, $err:expr $(,)?) => {
         if !$cond {
-            return $crate::private::Err($crate::anyhow!($err));
+            return $crate::private::Err($crate::__anyhow!($err));
         }
     };
     ($cond:expr, $fmt:expr, $($arg:tt)*) => {
         if !$cond {
-            return $crate::private::Err($crate::anyhow!($fmt, $($arg)*));
+            return $crate::private::Err($crate::__anyhow!($fmt, $($arg)*));
         }
     };
 }
@@ -206,6 +206,32 @@ macro_rules! ensure {
 /// ```
 #[macro_export]
 macro_rules! anyhow {
+    ($msg:literal $(,)?) => {
+        $crate::private::must_use({
+            let error = $crate::private::format_err($crate::private::format_args!($msg));
+            error
+        })
+    };
+    ($err:expr $(,)?) => {
+        $crate::private::must_use({
+            use $crate::private::kind::*;
+            let error = match $err {
+                error => (&error).anyhow_kind().new(error),
+            };
+            error
+        })
+    };
+    ($fmt:expr, $($arg:tt)*) => {
+        $crate::Error::msg($crate::private::format!($fmt, $($arg)*))
+    };
+}
+
+// Not public API. This is used in the implementation of some of the other
+// macros, in which the must_use call is not needed because the value is known
+// to be used.
+#[doc(hidden)]
+#[macro_export]
+macro_rules! __anyhow {
     ($msg:literal $(,)?) => ({
         let error = $crate::private::format_err($crate::private::format_args!($msg));
         error
diff --git a/tests/ui/must-use.rs b/tests/ui/must-use.rs
new file mode 100644
index 0000000..ea4e58f
--- /dev/null
+++ b/tests/ui/must-use.rs
@@ -0,0 +1,11 @@
+#![deny(unused_must_use)]
+
+use anyhow::anyhow;
+
+fn main() -> anyhow::Result<()> {
+    if true {
+        // meant to write bail!
+        anyhow!("it failed");
+    }
+    Ok(())
+}
diff --git a/tests/ui/must-use.stderr b/tests/ui/must-use.stderr
new file mode 100644
index 0000000..a11a808
--- /dev/null
+++ b/tests/ui/must-use.stderr
@@ -0,0 +1,12 @@
+error: unused return value of `must_use` that must be used
+ --> tests/ui/must-use.rs:8:9
+  |
+8 |         anyhow!("it failed");
+  |         ^^^^^^^^^^^^^^^^^^^^
+  |
+note: the lint level is defined here
+ --> tests/ui/must-use.rs:1:9
+  |
+1 | #![deny(unused_must_use)]
+  |         ^^^^^^^^^^^^^^^
+  = note: this error originates in the macro `anyhow` (in Nightly builds, run with -Z macro-backtrace for more info)