diff --git a/litellm/llms/openai/openai.py b/litellm/llms/openai/openai.py
index 998319f3e85..4f7efaacbff 100644
--- a/litellm/llms/openai/openai.py
+++ b/litellm/llms/openai/openai.py
@@ -318,6 +318,31 @@ class OpenAIChatCompletionResponseIterator(BaseModelResponseIterator):
             raise e
 
 
+def _get_openai_exception_status_code(e: Exception) -> int:
+    """
+    Determine the status code to attach to an ``OpenAIError`` raised from a
+    caught exception.
+
+    The OpenAI SDK raises ``openai.OpenAIError`` (e.g. "Missing credentials")
+    at *client construction*, before any HTTP request is made. Such exceptions
+    carry no ``status_code``. Defaulting these to 500 asserts that a server
+    responded with a server error, so the failure is treated as transient and
+    retried even though it is a permanent, client-side configuration problem.
+
+    For these pre-request client errors we return 401 so they surface as a
+    non-retryable ``AuthenticationError``. Any exception that already carries a
+    ``status_code`` (i.e. a real HTTP response happened) keeps that code.
+    """
+    status_code = getattr(e, "status_code", None)
+    if status_code is not None:
+        return status_code
+    if isinstance(e, openai.OpenAIError):
+        # openai.OpenAIError with no status_code == raised before any HTTP
+        # exchange (e.g. missing api_key), which is an auth/config problem.
+        return 401
+    return 500
+
+
 class OpenAIChatCompletion(BaseLLM, BaseOpenAILLM):
     def __init__(self) -> None:
         super().__init__()
@@ -797,7 +822,7 @@ class OpenAIChatCompletion(BaseLLM, BaseOpenAILLM):
         except OpenAIError as e:
             raise e
         except Exception as e:
-            status_code: Final = getattr(e, "status_code", 500)
+            status_code: Final = _get_openai_exception_status_code(e)
             error_headers = getattr(e, "headers", None)
             error_text: Final = getattr(e, "text", str(e))
             error_response: Final = getattr(e, "response", None)
@@ -920,7 +945,7 @@ class OpenAIChatCompletion(BaseLLM, BaseOpenAILLM):
                 # e.message
             except Exception as e:
                 exception_response = getattr(e, "response", None)
-                status_code = getattr(e, "status_code", 500)
+                status_code = _get_openai_exception_status_code(e)
                 exception_body = getattr(e, "body", None)
                 error_headers = getattr(e, "headers", None)
                 if error_headers is None and exception_response:
@@ -1075,7 +1100,7 @@ class OpenAIChatCompletion(BaseLLM, BaseOpenAILLM):
                     raise e
 
                 error_headers = getattr(e, "headers", None)
-                status_code = getattr(e, "status_code", 500)
+                status_code = _get_openai_exception_status_code(e)
                 error_response = getattr(e, "response", None)
                 exception_body = getattr(e, "body", None)
                 if error_headers is None and error_response:
diff --git a/tests/test_litellm/llms/openai/test_openai_exception_status_code.py b/tests/test_litellm/llms/openai/test_openai_exception_status_code.py
new file mode 100644
index 00000000000..70d10024992
--- /dev/null
+++ b/tests/test_litellm/llms/openai/test_openai_exception_status_code.py
@@ -0,0 +1,49 @@
+"""
+Tests for _get_openai_exception_status_code.
+
+Regression test for https://github.com/BerriAI/litellm/issues/35860:
+a missing API key raises openai.OpenAIError at client construction (with no
+status_code). Defaulting that to 500 makes it a retryable InternalServerError,
+so a permanent credential/config error is retried instead of failing fast.
+It should map to 401 (AuthenticationError) instead.
+"""
+
+import openai
+
+from litellm.llms.openai.openai import _get_openai_exception_status_code
+
+
+class TestGetOpenAIExceptionStatusCode:
+    def test_openai_error_without_status_code_maps_to_401(self):
+        """openai.OpenAIError with no status_code (pre-request, e.g. missing key) -> 401."""
+        err = openai.OpenAIError("Missing credentials. Please pass an `api_key`.")
+        assert not hasattr(err, "status_code") or getattr(err, "status_code") is None
+        assert _get_openai_exception_status_code(err) == 401
+
+    def test_existing_status_code_is_preserved(self):
+        """An exception that already carries a status_code keeps it (real HTTP response)."""
+
+        class FakeHTTPError(Exception):
+            status_code = 429
+
+        assert _get_openai_exception_status_code(FakeHTTPError("rate limited")) == 429
+
+    def test_status_code_zero_is_preserved(self):
+        """A falsy-but-present status_code (0) is still honored, not defaulted."""
+
+        class ZeroStatus(Exception):
+            status_code = 0
+
+        assert _get_openai_exception_status_code(ZeroStatus("weird")) == 0
+
+    def test_generic_exception_without_status_code_defaults_to_500(self):
+        """A non-OpenAI exception with no status_code keeps the 500 default."""
+        assert _get_openai_exception_status_code(ValueError("boom")) == 500
+
+    def test_openai_error_subclass_with_status_code_kept(self):
+        """A real openai HTTP error (has status_code) is unchanged."""
+
+        class FakeOpenAIHTTPError(openai.OpenAIError):
+            status_code = 400
+
+        assert _get_openai_exception_status_code(FakeOpenAIHTTPError("bad request")) == 400