diff --git a/swh/loader/mercurial/loader.py b/swh/loader/mercurial/loader.py
--- a/swh/loader/mercurial/loader.py
+++ b/swh/loader/mercurial/loader.py
@@ -1,4 +1,4 @@
-# Copyright (C) 2017-2020  The Software Heritage developers
+# Copyright (C) 2017-2021  The Software Heritage developers
 # See the AUTHORS file at the top-level directory of this distribution
 # License: GNU General Public License version 3, or any later version
 # See top-level LICENSE file for more information
@@ -30,10 +30,12 @@
 import billiard
 from dateutil import parser
 import hglib
+from hglib.error import CommandError
 
 from swh.core.config import merge_configs
 from swh.loader.core.loader import DVCSLoader
 from swh.loader.core.utils import clean_dangling_folders
+from swh.loader.exception import NotFound
 from swh.model import identifiers
 from swh.model.hashutil import (
     DEFAULT_ALGORITHMS,
@@ -74,6 +76,19 @@
 HEAD_POINTER_NAME = b"tip"
 
 
+class CommandErrorWrapper(Exception):
+    """This exception is raised in place of a 'CommandError'
+       exception (raised by the underlying hglib library)
+
+       This is needed because billiard.Queue is serializing the
+       queued object and as CommandError doesn't have a constructor without
+       parameters, the deserialization is failing
+    """
+
+    def __init__(self, err: Optional[bytes]):
+        self.err = err
+
+
 class CloneTimeoutError(Exception):
     pass
 
@@ -183,6 +198,9 @@
         def do_clone(queue, origin, destination):
             try:
                 result = hglib.clone(source=origin, dest=destination)
+            except CommandError as e:
+                # the queued object need an empty constructor to be deserialized later
+                queue.put(CommandErrorWrapper(e.err))
             except BaseException as e:
                 queue.put(e)
             else:
@@ -207,6 +225,7 @@
                 continue
 
         process.join()
+
         if isinstance(result, Exception):
             raise result from None
 
@@ -252,9 +271,19 @@
                 self.clone_timeout,
             )
 
-            self.clone_with_timeout(
-                self.log, self.origin_url, self.hgdir, self.clone_timeout
-            )
+            try:
+                self.clone_with_timeout(
+                    self.log, self.origin_url, self.hgdir, self.clone_timeout
+                )
+            except CommandErrorWrapper as e:
+                for msg in [
+                    b"does not appear to be an hg repository",
+                    b"404: Not Found",
+                    b"Name or service not known",
+                ]:
+                    if msg in e.err:
+                        raise NotFound(e.args[0]) from None
+                raise e
 
         else:  # local repository
             self.working_directory = None
@@ -262,6 +291,7 @@
 
         self.bundle_path = os.path.join(self.hgdir, self.bundle_filename)
         self.log.debug("Bundling at %s" % self.bundle_path)
+
         with hglib.open(self.hgdir) as repo:
             self.heads = self.get_heads(repo)
             repo.bundle(bytes(self.bundle_path, "utf-8"), all=True, type=b"none-v2")
diff --git a/swh/loader/mercurial/tests/test_loader.py b/swh/loader/mercurial/tests/test_loader.py
--- a/swh/loader/mercurial/tests/test_loader.py
+++ b/swh/loader/mercurial/tests/test_loader.py
@@ -9,6 +9,7 @@
 import time
 
 import hglib
+from hglib.error import CommandError
 import pytest
 
 from swh.loader.tests import (
@@ -231,6 +232,53 @@
     )
 
 
+@pytest.mark.parametrize(
+    "error_msg",
+    [
+        b"does not appear to be an hg repository",
+        b"404: Not Found",
+        b" Name or service not known",
+    ],
+)
+def test_visit_error_with_status_not_found(
+    swh_config, datadir, tmp_path, mocker, error_msg
+):
+    """Not reaching the repo leads to a 'not_found' ingestion status"""
+    mock = mocker.patch("hglib.clone")
+    mock.side_effect = CommandError((), 255, b"", error_msg)
+
+    archive_name = "the-sandbox"
+    archive_path = os.path.join(datadir, f"{archive_name}.tgz")
+    repo_url = prepare_repository_from_archive(archive_path, archive_name, tmp_path)
+
+    loader = HgBundle20Loader(repo_url)
+
+    assert loader.load() == {"status": "uneventful"}
+
+    assert_last_visit_matches(
+        loader.storage, repo_url, status="not_found", type="hg", snapshot=None,
+    )
+
+
+def test_visit_error_with_clone_error(swh_config, datadir, tmp_path, mocker):
+    """Testing failures other than 'not_found'"""
+
+    mock = mocker.patch("hglib.clone")
+    mock.side_effect = CommandError((), 255, b"", b"out of disk space")
+
+    archive_name = "the-sandbox"
+    archive_path = os.path.join(datadir, f"{archive_name}.tgz")
+    repo_url = prepare_repository_from_archive(archive_path, archive_name, tmp_path)
+
+    loader = HgBundle20Loader(repo_url)
+
+    assert loader.load() == {"status": "failed"}
+
+    assert_last_visit_matches(
+        loader.storage, repo_url, status="failed", type="hg", snapshot=None,
+    )
+
+
 def test_visit_repository_with_transplant_operations(swh_config, datadir, tmp_path):
     """Visit a mercurial repository visit transplant operations within should yield a
     snapshot as well.