diff --git a/CHANGES b/CHANGES
index 184365670af..70eaf1094f4 100644
--- a/CHANGES
+++ b/CHANGES
@@ -58,6 +58,7 @@ Features added
 * LaTeX: new key ``'fvset'`` for :confval:`latex_elements`. For
   XeLaTeX/LuaLaTeX its default sets ``fanvyvrb`` to use normal, not small,
   fontsize in code-blocks (refs: #4793)
+* Improve warning messages during including (refs: #4818)
 
 Bugs fixed
 ----------
diff --git a/sphinx/directives/other.py b/sphinx/directives/other.py
index 4509994359f..81cf64dc0c0 100644
--- a/sphinx/directives/other.py
+++ b/sphinx/directives/other.py
@@ -7,6 +7,8 @@
     :license: BSD, see LICENSE for details.
 """
 
+from contextlib import contextmanager
+
 from docutils import nodes
 from docutils.parsers.rst import directives
 from docutils.parsers.rst.directives.admonitions import BaseAdmonition
@@ -25,7 +27,7 @@
 
 if False:
     # For type annotation
-    from typing import Any, Dict, List, Tuple  # NOQA
+    from typing import Any, Dict, Generator, List, Tuple  # NOQA
     from sphinx.application import Sphinx  # NOQA
 
 
@@ -426,6 +428,7 @@ class Include(BaseInclude, SphinxDirective):
 
     def run(self):
         # type: () -> List[nodes.Node]
+        current_filename = self.env.doc2path(self.env.docname)
         if self.arguments[0].startswith('<') and \
            self.arguments[0].endswith('>'):
             # docutils "standard" includes, do not do path processing
@@ -433,7 +436,27 @@ def run(self):
         rel_filename, filename = self.env.relfn2path(self.arguments[0])
         self.arguments[0] = filename
         self.env.note_included(filename)
-        return BaseInclude.run(self)
+        with patched_warnings(self, current_filename):
+            return BaseInclude.run(self)
+
+
+@contextmanager
+def patched_warnings(directive, parent_filename):
+    # type: (BaseInclude, unicode) -> Generator[None, None, None]
+    """Add includee filename to the warnings during inclusion."""
+    try:
+        original = directive.state_machine.insert_input
+
+        def insert_input(input_lines, source):
+            # type: (Any, unicode) -> None
+            source += ' <included from %s>' % parent_filename
+            original(input_lines, source)
+
+        # patch insert_input() temporarily
+        directive.state_machine.insert_input = insert_input
+        yield
+    finally:
+        directive.state_machine.insert_input = original
 
 
 def setup(app):