diff --git a/etna/datasets/tsdataset.py b/etna/datasets/tsdataset.py
index 00655c677..3dbeae04c 100644
--- a/etna/datasets/tsdataset.py
+++ b/etna/datasets/tsdataset.py
@@ -66,12 +66,14 @@ def __init__(self, df: pd.DataFrame, freq: str, df_exog: Optional[pd.DataFrame]
 
     def transform(self, transforms: Iterable[Transform]):
         """Apply given transform to the data."""
+        self._check_endings()
         self.transforms = transforms
         for transform in self.transforms:
             self.df = transform.transform(self.df)
 
     def fit_transform(self, transforms: Iterable[Transform]):
         """Fit and apply given transforms to the data."""
+        self._check_endings()
         self.transforms = transforms
         for transform in self.transforms:
             self.df = transform.fit_transform(self.df)
@@ -139,6 +141,13 @@ def _merge_exog(self, df):
         df = pd.merge(df, self.df_exog, left_index=True, right_index=True).sort_index(axis=1)
         return df
 
+    def _check_endings(self):
+        """Check that all targets ends at the same timestamp."""
+        max_index = self.df.index.max()
+        for segment in self.df.columns.get_level_values("segment"):
+            if np.isnan(self.df.loc[max_index, pd.IndexSlice[segment, "target"]]):
+                raise ValueError(f"All segments should end at the same timestamp")
+
     def inverse_transform(self):
         """Apply inverse transform method of transforms to the data.
         Applied in revered order.
diff --git a/tests/test_datasets/test_dataset.py b/tests/test_datasets/test_dataset.py
index 14f82903d..a259f6b1b 100644
--- a/tests/test_datasets/test_dataset.py
+++ b/tests/test_datasets/test_dataset.py
@@ -32,6 +32,28 @@ def tsdf_with_exog() -> TSDataset:
     return ts
 
 
+def test_same_ending_error_raise():
+    timestamp = pd.date_range("2021-01-01", "2021-02-01")
+    df1 = pd.DataFrame({"timestamp": timestamp, "target": 11, "segment": "1"})
+    df2 = pd.DataFrame({"timestamp": timestamp[:-5], "target": 12, "segment": "2"})
+    df = pd.concat([df1, df2], ignore_index=True)
+    df = TSDataset.to_dataset(df)
+    ts = TSDataset(df=df, freq="D")
+
+    with pytest.raises(ValueError):
+        ts.fit_transform([])
+
+
+def test_same_ending_error_pass():
+    timestamp = pd.date_range("2021-01-01", "2021-02-01")
+    df1 = pd.DataFrame({"timestamp": timestamp, "target": 11, "segment": "1"})
+    df2 = pd.DataFrame({"timestamp": timestamp, "target": 12, "segment": "2"})
+    df = pd.concat([df1, df2], ignore_index=True)
+    df = TSDataset.to_dataset(df)
+    ts = TSDataset(df=df, freq="D")
+    ts.fit_transform([])
+
+
 def test_categorical_after_call_to_pandas():
     classic_df = generate_ar_df(periods=30, start_time="2021-06-01", n_segments=2)
     classic_df["categorical_column"] = [0] * 30 + [1] * 30