diff --git a/MySQLdb/_mysql.c b/MySQLdb/_mysql.c
index 3c84627..f12231b 100644
--- a/MySQLdb/_mysql.c
+++ b/MySQLdb/_mysql.c
@@ -444,8 +444,12 @@ _mysql_ConnectionObject_Initialize(
         _stringsuck(cipher, value, ssl);
     }
 
-    Py_BEGIN_ALLOW_THREADS ;
     conn = mysql_init(&(self->connection));
+    if (!conn) {
+        PyErr_SetNone(PyExc_MemoryError);
+        return -1;
+    }
+    Py_BEGIN_ALLOW_THREADS ;
     self->open = 1;
     if (connect_timeout) {
         unsigned int timeout = connect_timeout;
@@ -497,7 +501,6 @@ _mysql_ConnectionObject_Initialize(
 
     if (!conn) {
         _mysql_Exception(self);
-        self->open = 0;
         return -1;
     }