diff --git a/changelog/5039.bugfix.rst b/changelog/5039.bugfix.rst
new file mode 100644
index 00000000000..4e173f64e96
--- /dev/null
+++ b/changelog/5039.bugfix.rst
@@ -0,0 +1 @@
+Fix regression with ``--pdbcls``, which stopped working with local modules in 4.0.0.
diff --git a/src/_pytest/debugging.py b/src/_pytest/debugging.py
index cb1c964c35b..3bfd5465fb2 100644
--- a/src/_pytest/debugging.py
+++ b/src/_pytest/debugging.py
@@ -10,31 +10,18 @@
 
 from _pytest import outcomes
 from _pytest.config import hookimpl
+from _pytest.config.exceptions import UsageError
 
 
 def _validate_usepdb_cls(value):
+    """Validate syntax of --pdbcls option."""
     try:
         modname, classname = value.split(":")
     except ValueError:
         raise argparse.ArgumentTypeError(
             "{!r} is not in the format 'modname:classname'".format(value)
         )
-
-    try:
-        __import__(modname)
-        mod = sys.modules[modname]
-
-        # Handle --pdbcls=pdb:pdb.Pdb (useful e.g. with pdbpp).
-        parts = classname.split(".")
-        pdb_cls = getattr(mod, parts[0])
-        for part in parts[1:]:
-            pdb_cls = getattr(pdb_cls, part)
-
-        return pdb_cls
-    except Exception as exc:
-        raise argparse.ArgumentTypeError(
-            "could not get pdb class for {!r}: {}".format(value, exc)
-        )
+    return (modname, classname)
 
 
 def pytest_addoption(parser):
@@ -61,9 +48,28 @@ def pytest_addoption(parser):
     )
 
 
+def _import_pdbcls(modname, classname):
+    try:
+        __import__(modname)
+        mod = sys.modules[modname]
+
+        # Handle --pdbcls=pdb:pdb.Pdb (useful e.g. with pdbpp).
+        parts = classname.split(".")
+        pdb_cls = getattr(mod, parts[0])
+        for part in parts[1:]:
+            pdb_cls = getattr(pdb_cls, part)
+
+        return pdb_cls
+    except Exception as exc:
+        value = ":".join((modname, classname))
+        raise UsageError("--pdbcls: could not import {!r}: {}".format(value, exc))
+
+
 def pytest_configure(config):
     pdb_cls = config.getvalue("usepdb_cls")
-    if not pdb_cls:
+    if pdb_cls:
+        pdb_cls = _import_pdbcls(*pdb_cls)
+    else:
         pdb_cls = pdb.Pdb
 
     if config.getvalue("trace"):
diff --git a/testing/test_pdb.py b/testing/test_pdb.py
index 531846e8e13..61f33950de9 100644
--- a/testing/test_pdb.py
+++ b/testing/test_pdb.py
@@ -2,7 +2,6 @@
 from __future__ import division
 from __future__ import print_function
 
-import argparse
 import os
 import platform
 import sys
@@ -803,13 +802,12 @@ def test_pdb_custom_cls_invalid(self, testdir):
         )
 
     def test_pdb_validate_usepdb_cls(self, testdir):
-        assert _validate_usepdb_cls("os.path:dirname.__name__") == "dirname"
+        assert _validate_usepdb_cls("os.path:dirname.__name__") == (
+            "os.path",
+            "dirname.__name__",
+        )
 
-        with pytest.raises(
-            argparse.ArgumentTypeError,
-            match=r"^could not get pdb class for 'pdb:DoesNotExist': .*'DoesNotExist'",
-        ):
-            _validate_usepdb_cls("pdb:DoesNotExist")
+        assert _validate_usepdb_cls("pdb:DoesNotExist") == ("pdb", "DoesNotExist")
 
     def test_pdb_custom_cls_without_pdb(self, testdir, custom_pdb_calls):
         p1 = testdir.makepyfile("""xxx """)
@@ -1121,3 +1119,35 @@ def test_inner({fixture}):
     assert child.exitstatus == 0
     assert "= 1 passed in " in rest
     assert "> PDB continue (IO-capturing resumed for fixture %s) >" % (fixture) in rest
+
+
+def test_pdbcls_via_local_module(testdir):
+    """It should be imported in pytest_configure or later only."""
+    p1 = testdir.makepyfile(
+        """
+        def test():
+            print("before_settrace")
+            __import__("pdb").set_trace()
+        """,
+        mypdb="""
+        class Wrapped:
+            class MyPdb:
+                def set_trace(self, *args):
+                    print("mypdb_called", args)
+        """,
+    )
+    result = testdir.runpytest(
+        str(p1), "--pdbcls=really.invalid:Value", syspathinsert=True
+    )
+    result.stderr.fnmatch_lines(
+        [
+            "ERROR: --pdbcls: could not import 'really.invalid:Value': No module named *really*"
+        ]
+    )
+    assert result.ret == 4
+
+    result = testdir.runpytest(
+        str(p1), "--pdbcls=mypdb:Wrapped.MyPdb", syspathinsert=True
+    )
+    assert result.ret == 0
+    result.stdout.fnmatch_lines(["*mypdb_called*", "* 1 passed in *"])