diff --git a/sphinx/ext/extlinks.py b/sphinx/ext/extlinks.py
index e846c66b8de..0af335686c4 100644
--- a/sphinx/ext/extlinks.py
+++ b/sphinx/ext/extlinks.py
@@ -19,10 +19,13 @@
 
     You can also give an explicit caption, e.g. :exmpl:`Foo <foo>`.
 
+    Both, the url string and the caption string must escape ``%`` as ``%%``.
+
     :copyright: Copyright 2007-2021 by the Sphinx team, see AUTHORS.
     :license: BSD, see LICENSE for details.
 """
 
+import warnings
 from typing import Any, Dict, List, Tuple
 
 from docutils import nodes, utils
@@ -31,36 +34,44 @@
 
 import sphinx
 from sphinx.application import Sphinx
+from sphinx.deprecation import RemovedInSphinx60Warning
 from sphinx.util.nodes import split_explicit_title
 from sphinx.util.typing import RoleFunction
 
 
-def make_link_role(base_url: str, caption: str) -> RoleFunction:
+def make_link_role(name: str, base_url: str, caption: str) -> RoleFunction:
+    # Check whether we have base_url and caption strings have an '%s' for
+    # expansion.  If not, fall back the the old behaviour and use the string as
+    # a prefix.
+    # Remark: It is an implementation detail that we use Pythons %-formatting.
+    # So far we only expose ``%s`` and require quoting of ``%`` using ``%%``.
+    try:
+        base_url % 'dummy'
+    except (TypeError, ValueError):
+        warnings.warn('extlinks: Sphinx-6.0 will require base URL to '
+                      'contain exactly one \'%s\' and all other \'%\' need '
+                      'to be escaped as \'%%\'.', RemovedInSphinx60Warning)
+        base_url = base_url.replace('%', '%%') + '%s'
+    if caption is not None:
+        try:
+            caption % 'dummy'
+        except (TypeError, ValueError):
+            warnings.warn('extlinks: Sphinx-6.0 will require a caption string to '
+                          'contain exactly one \'%s\' and all other \'%\' need '
+                          'to be escaped as \'%%\'.', RemovedInSphinx60Warning)
+            caption = caption.replace('%', '%%') + '%s'
+
     def role(typ: str, rawtext: str, text: str, lineno: int,
              inliner: Inliner, options: Dict = {}, content: List[str] = []
              ) -> Tuple[List[Node], List[system_message]]:
         text = utils.unescape(text)
         has_explicit_title, title, part = split_explicit_title(text)
-        try:
-            full_url = base_url % part
-        except (TypeError, ValueError):
-            inliner.reporter.warning(
-                'unable to expand %s extlink with base URL %r, please make '
-                'sure the base contains \'%%s\' exactly once'
-                % (typ, base_url), line=lineno)
-            full_url = base_url + part
+        full_url = base_url % part
         if not has_explicit_title:
             if caption is None:
                 title = full_url
             else:
-                try:
-                    title = caption % part
-                except (TypeError, ValueError):
-                    inliner.reporter.warning(
-                        'unable to expand %s extlink with caption %r, please make '
-                        'sure the caption contains \'%%s\' exactly once'
-                        % (typ, caption), line=lineno)
-                    title = caption + part
+                title = caption % part
         pnode = nodes.reference(title, title, internal=False, refuri=full_url)
         return [pnode], []
     return role
@@ -68,7 +79,7 @@ def role(typ: str, rawtext: str, text: str, lineno: int,
 
 def setup_link_roles(app: Sphinx) -> None:
     for name, (base_url, caption) in app.config.extlinks.items():
-        app.add_role(name, make_link_role(base_url, caption))
+        app.add_role(name, make_link_role(name, base_url, caption))
 
 
 def setup(app: Sphinx) -> Dict[str, Any]: