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
@@ -34,6 +34,7 @@
 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,
@@ -236,35 +237,39 @@
 
         directory = self.directory
 
-        if not directory:  # remote repository
-            self.working_directory = mkdtemp(
-                prefix=TEMPORARY_DIR_PREFIX_PATTERN,
-                suffix="-%s" % os.getpid(),
-                dir=self.temp_directory,
-            )
-            os.makedirs(self.working_directory, exist_ok=True)
-            self.hgdir = self.working_directory
+        try:
+            if not directory:  # remote repository
+                self.working_directory = mkdtemp(
+                    prefix=TEMPORARY_DIR_PREFIX_PATTERN,
+                    suffix="-%s" % os.getpid(),
+                    dir=self.temp_directory,
+                )
+                os.makedirs(self.working_directory, exist_ok=True)
+                self.hgdir = self.working_directory
+
+                self.log.debug(
+                    "Cloning %s to %s with timeout %s seconds",
+                    self.origin_url,
+                    self.hgdir,
+                    self.clone_timeout,
+                )
 
-            self.log.debug(
-                "Cloning %s to %s with timeout %s seconds",
-                self.origin_url,
-                self.hgdir,
-                self.clone_timeout,
-            )
+                self.clone_with_timeout(
+                    self.log, self.origin_url, self.hgdir, self.clone_timeout
+                )
 
-            self.clone_with_timeout(
-                self.log, self.origin_url, self.hgdir, self.clone_timeout
-            )
+            else:  # local repository
+                self.working_directory = None
+                self.hgdir = directory
 
-        else:  # local repository
-            self.working_directory = None
-            self.hgdir = directory
+            self.bundle_path = os.path.join(self.hgdir, self.bundle_filename)
+            self.log.debug("Bundling at %s" % self.bundle_path)
 
-        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")
+            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")
+        except Exception as e:
+            raise NotFound(e)
 
         self.cache_filename1 = os.path.join(
             self.hgdir, "swh-cache-1-%s" % (hex(random.randint(0, 0xFFFFFF))[2:],)
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
@@ -231,6 +231,24 @@
     )
 
 
+def test_visit_error_with_status_not_found(swh_config, datadir, tmp_path, mocker):
+    """Not reaching the repo leads to a 'not_found' ingestion status"""
+    mock = mocker.patch("hglib.clone")
+    mock.side_effect = hglib.error.ResponseError()
+
+    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_repository_with_transplant_operations(swh_config, datadir, tmp_path):
     """Visit a mercurial repository visit transplant operations within should yield a
     snapshot as well.