diff --git a/pygmt/figure.py b/pygmt/figure.py
index 9739826f8aa..b922705d752 100644
--- a/pygmt/figure.py
+++ b/pygmt/figure.py
@@ -239,10 +239,13 @@ def psconvert(self, icc_gray=False, **kwargs):
         # Manually handle prefix -F argument so spaces aren't converted to \040
         # by build_arg_string function. For more information, see
         # https://github.com/GenericMappingTools/pygmt/pull/1487
-        prefix = kwargs.pop("F")
+        try:
+            prefix_arg = f'-F"{kwargs.pop("F")}"'
+        except KeyError as err:
+            raise GMTInvalidInput("The 'prefix' must be specified.") from err
 
         with Session() as lib:
-            lib.call_module("psconvert", f'-F"{prefix}" {build_arg_string(kwargs)}')
+            lib.call_module("psconvert", f"{prefix_arg} {build_arg_string(kwargs)}")
 
     def savefig(
         self, fname, transparent=False, crop=True, anti_alias=True, show=False, **kwargs
diff --git a/pygmt/tests/test_psconvert.py b/pygmt/tests/test_psconvert.py
index af610cf86bb..a18b14883f2 100644
--- a/pygmt/tests/test_psconvert.py
+++ b/pygmt/tests/test_psconvert.py
@@ -3,7 +3,9 @@
 """
 import os
 
+import pytest
 from pygmt import Figure
+from pygmt.exceptions import GMTInvalidInput
 
 
 def test_psconvert():
@@ -36,3 +38,12 @@ def test_psconvert_twice():
     fname = prefix + ".png"
     assert os.path.exists(fname)
     os.remove(fname)
+
+
+def test_psconvert_without_prefix():
+    """
+    Call psconvert without the 'prefix' option.
+    """
+    fig = Figure()
+    with pytest.raises(GMTInvalidInput):
+        fig.psconvert(fmt="g")