diff --git a/mypy/build.py b/mypy/build.py
index 525d5f436e7e1..f8a9294ebd766 100644
--- a/mypy/build.py
+++ b/mypy/build.py
@@ -2207,6 +2207,7 @@ def parse_inline_configuration(self, source: str) -> None:
         """Check for inline mypy: options directive and parse them."""
         flags = get_mypy_comments(source)
         if flags:
+            # TODO: should this be captured as well for parser errors?
             changes, config_errors = parse_mypy_comments(flags, self.options)
             self.options = self.options.apply_changes(changes)
             self.manager.errors.set_file(self.xpath, self.id, self.options)
diff --git a/mypy/config_parser.py b/mypy/config_parser.py
index a84f3594a0d22..f6c889c9de96b 100644
--- a/mypy/config_parser.py
+++ b/mypy/config_parser.py
@@ -452,8 +452,8 @@ def parse_section(
                     if report_type in defaults.REPORTER_NAMES:
                         report_dirs[report_type] = str(section[key])
                     else:
-                        print(f"{prefix}Unrecognized report type: {key}", file=stderr)
-                    continue
+                        msg = f"{prefix}Unrecognized report type: {key}"
+                        raise argparse.ArgumentTypeError(msg)
                 if key.startswith("x_"):
                     pass  # Don't complain about `x_blah` flags
                 elif key.startswith("no_") and hasattr(template, key[3:]):
@@ -471,7 +471,8 @@ def parse_section(
                 elif key == "strict":
                     pass  # Special handling below
                 else:
-                    print(f"{prefix}Unrecognized option: {key} = {section[key]}", file=stderr)
+                    msg = f"{prefix}Unrecognized option: {key} = {section[key]}"
+                    raise argparse.ArgumentTypeError(msg)
                 if invert:
                     dv = getattr(template, options_key, None)
                 else:
@@ -488,19 +489,21 @@ def parse_section(
                     v = not v
             elif callable(ct):
                 if invert:
+                    # TODO: should this be captured or it is okay to ignore
                     print(f"{prefix}Can not invert non-boolean key {options_key}", file=stderr)
                     continue
                 try:
                     v = ct(section.get(key))
                 except argparse.ArgumentTypeError as err:
-                    print(f"{prefix}{key}: {err}", file=stderr)
-                    continue
+                    msg = f"{prefix}{key}: {err}"
+                    raise argparse.ArgumentTypeError(msg) from err
             else:
                 print(f"{prefix}Don't know what type {key} should have", file=stderr)
+                # TODO: should this be captured or it is okay to ignore as type is not known
                 continue
         except ValueError as err:
-            print(f"{prefix}{key}: {err}", file=stderr)
-            continue
+            msg = f"{prefix}{key}: {err}"
+            raise ValueError(msg) from err
         if key == "strict":
             if v:
                 set_strict_flags()
diff --git a/mypy/main.py b/mypy/main.py
index 30f6cfe97455d..329bfe51c061f 100644
--- a/mypy/main.py
+++ b/mypy/main.py
@@ -1249,7 +1249,11 @@ def set_strict_flags() -> None:
             setattr(options, dest, value)
 
     # Parse config file first, so command line can override.
-    parse_config_file(options, set_strict_flags, config_file, stdout, stderr)
+    try:
+        parse_config_file(options, set_strict_flags, config_file, stdout, stderr)
+    except (argparse.ArgumentTypeError, ValueError) as err:
+        stderr.write(f"{err}")
+        sys.exit(1)
 
     # Set strict flags before parsing (if strict mode enabled), so other command
     # line options can override.