diff --git a/README.rst b/README.rst
index 730eb65..b5eac9d 100644
--- a/README.rst
+++ b/README.rst
@@ -197,6 +197,7 @@ second usage. Save the result to a list if the result is needed multiple times.
 
 **B036**: Found ``except BaseException:`` without re-raising (no ``raise`` in the top-level of the ``except`` block). This catches all kinds of things (Exception, SystemExit, KeyboardInterrupt...) and may prevent a program from exiting as expected.
 
+**B037**: Found ``return <value>``, ``yield``, ``yield <value>``, or ``yield from <value>`` in class ``__init__()`` method. No values should be returned or yielded, only bare ``return``s are ok.
 Opinionated warnings
 ~~~~~~~~~~~~~~~~~~~~
 
diff --git a/bugbear.py b/bugbear.py
index 1e90dc6..b05422d 100644
--- a/bugbear.py
+++ b/bugbear.py
@@ -1,3 +1,5 @@
+from __future__ import annotations
+
 import ast
 import builtins
 import itertools
@@ -379,6 +381,30 @@ def node_stack(self):
         context, stack = self.contexts[-1]
         return stack
 
+    def in_class_init(self) -> bool:
+        return (
+            len(self.contexts) >= 2
+            and isinstance(self.contexts[-2].node, ast.ClassDef)
+            and isinstance(self.contexts[-1].node, ast.FunctionDef)
+            and self.contexts[-1].node.name == "__init__"
+        )
+
+    def visit_Return(self, node: ast.Return) -> None:
+        if self.in_class_init():
+            if node.value is not None:
+                self.errors.append(B037(node.lineno, node.col_offset))
+        self.generic_visit(node)
+
+    def visit_Yield(self, node: ast.Yield) -> None:
+        if self.in_class_init():
+            self.errors.append(B037(node.lineno, node.col_offset))
+        self.generic_visit(node)
+
+    def visit_YieldFrom(self, node: ast.YieldFrom) -> None:
+        if self.in_class_init():
+            self.errors.append(B037(node.lineno, node.col_offset))
+        self.generic_visit(node)
+
     def visit(self, node):
         is_contextful = isinstance(node, CONTEXTFUL_NODES)
 
@@ -540,7 +566,7 @@ def visit_FunctionDef(self, node):
         self.check_for_b906(node)
         self.generic_visit(node)
 
-    def visit_ClassDef(self, node):
+    def visit_ClassDef(self, node: ast.ClassDef):
         self.check_for_b903(node)
         self.check_for_b021(node)
         self.check_for_b024_and_b027(node)
@@ -1986,6 +2012,10 @@ def visit_Lambda(self, node):
     message="B036 Don't except `BaseException` unless you plan to re-raise it."
 )
 
+B037 = Error(
+    message="B037 Class `__init__` methods must not return or yield and any values."
+)
+
 # Warnings disabled by default.
 B901 = Error(
     message=(
diff --git a/tests/b037.py b/tests/b037.py
new file mode 100644
index 0000000..e580764
--- /dev/null
+++ b/tests/b037.py
@@ -0,0 +1,33 @@
+
+class A:
+    def __init__(self) -> None:
+        return 1  # bad
+
+class B:
+    def __init__(self, x) -> None:
+        if x:
+            return  # ok
+        else:
+            return []  # bad
+
+    class BNested:
+        def __init__(self) -> None:
+            yield  # bad
+
+
+class C:
+    def func(self):
+        pass
+
+    def __init__(self, k="") -> None:
+        yield from []  # bad
+
+
+class D(C):
+    def __init__(self, k="") -> None:
+        super().__init__(k)
+        return None  # bad
+    
+class E:
+    def __init__(self) -> None:
+        yield "a"
diff --git a/tests/test_bugbear.py b/tests/test_bugbear.py
index 08f106b..86cab13 100644
--- a/tests/test_bugbear.py
+++ b/tests/test_bugbear.py
@@ -45,6 +45,7 @@
     B034,
     B035,
     B036,
+    B037,
     B901,
     B902,
     B903,
@@ -619,6 +620,20 @@ def test_b036(self) -> None:
         )
         self.assertEqual(errors, expected)
 
+    def test_b037(self) -> None:
+        filename = Path(__file__).absolute().parent / "b037.py"
+        bbc = BugBearChecker(filename=str(filename))
+        errors = list(bbc.run())
+        expected = self.errors(
+            B037(4, 8),
+            B037(11, 12),
+            B037(15, 12),
+            B037(23, 8),
+            B037(29, 8),
+            B037(33, 8),
+        )
+        self.assertEqual(errors, expected)
+
     def test_b908(self):
         filename = Path(__file__).absolute().parent / "b908.py"
         bbc = BugBearChecker(filename=str(filename))