diff --git a/airflow-core/src/airflow/dag_processing/dagbag.py b/airflow-core/src/airflow/dag_processing/dagbag.py
index 584840f25c329..937a5b808df9f 100644
--- a/airflow-core/src/airflow/dag_processing/dagbag.py
+++ b/airflow-core/src/airflow/dag_processing/dagbag.py
@@ -76,6 +76,13 @@ def _capture_with_reraise() -> Generator[list[warnings.WarningMessage], None, No
                 )
 
 
+def _format_dag_import_warning_message(message: str, source_path: str, dag_file_path: str) -> str:
+    """Include the imported Dag file when a warning points to another source file."""
+    if source_path != dag_file_path and not source_path.startswith(f"{dag_file_path}{os.sep}"):
+        return f"{message} (Dag file: {dag_file_path})"
+    return message
+
+
 class FileLoadStat(NamedTuple):
     """
     Information about single file.
@@ -345,14 +352,16 @@ def process_file(self, filepath, only_if_updated=True, safe_mode=True):
 
         if result.warnings:
             formatted_warnings = [
-                f"{w.file_path}:{w.line_number}: {w.warning_type}: {w.message}" for w in result.warnings
+                f"{w.file_path}:{w.line_number}: {w.warning_type}: "
+                f"{_format_dag_import_warning_message(w.message, w.file_path, w.dag_file_path)}"
+                for w in result.warnings
             ]
             self.captured_warnings[filepath] = tuple(formatted_warnings)
             # Re-emit warnings so they can be handled by Python's warning system
             for w in result.warnings:
                 warnings.warn_explicit(
-                    message=w.message,
-                    category=UserWarning,
+                    message=_format_dag_import_warning_message(w.message, w.file_path, w.dag_file_path),
+                    category=w.category,
                     filename=w.file_path,
                     lineno=w.line_number or 0,
                 )
diff --git a/airflow-core/src/airflow/dag_processing/importers/base.py b/airflow-core/src/airflow/dag_processing/importers/base.py
index 643c16611f9b9..7067e6472b56c 100644
--- a/airflow-core/src/airflow/dag_processing/importers/base.py
+++ b/airflow-core/src/airflow/dag_processing/importers/base.py
@@ -74,6 +74,8 @@ class DagImportWarning:
     message: str
     warning_type: str = "general"
     line_number: int | None = None
+    category: type[Warning] = UserWarning
+    dag_file_path: str = ""
 
 
 @dataclass
diff --git a/airflow-core/src/airflow/dag_processing/importers/python_importer.py b/airflow-core/src/airflow/dag_processing/importers/python_importer.py
index 47f77a86f73ec..f0ed09ab9e0aa 100644
--- a/airflow-core/src/airflow/dag_processing/importers/python_importer.py
+++ b/airflow-core/src/airflow/dag_processing/importers/python_importer.py
@@ -187,6 +187,8 @@ def import_file(
                     message=str(warn_msg.message),
                     warning_type=category,
                     line_number=warn_msg.lineno,
+                    category=warn_msg.category,
+                    dag_file_path=relative_path,
                 )
             )
 
diff --git a/airflow-core/tests/unit/dag_processing/test_dagbag.py b/airflow-core/tests/unit/dag_processing/test_dagbag.py
index cb110ef5c7fda..a22553a8287a3 100644
--- a/airflow-core/tests/unit/dag_processing/test_dagbag.py
+++ b/airflow-core/tests/unit/dag_processing/test_dagbag.py
@@ -1214,6 +1214,44 @@ def test_dabgag_captured_warnings(self):
             assert dag_file not in dagbag.captured_warnings
             assert dagbag.dagbag_stats[0].warning_num == 0
 
+    @pytest.mark.parametrize("warning_from_dag_file", [True, False])
+    def test_dagbag_warning_includes_dag_file_when_warning_source_differs(
+        self, tmp_path, warning_from_dag_file
+    ):
+        dag_file = tmp_path / "test_dag_warning_from_internal_source.py"
+        warning_source = dag_file.as_posix() if warning_from_dag_file else "/provider/deprecated_operator.py"
+        dag_file.write_text(
+            textwrap.dedent(
+                f"""\
+                import warnings
+                from datetime import datetime
+
+                from airflow.sdk import DAG
+
+                warnings.warn_explicit(
+                    "Deprecated provider behavior",
+                    category=DeprecationWarning,
+                    filename={warning_source!r},
+                    lineno=7,
+                )
+
+                with DAG("test_dag_warning_from_internal_source", start_date=datetime(2024, 1, 1)):
+                    pass
+                """
+            )
+        )
+        dagbag = DagBag(dag_folder=dag_file.as_posix(), include_examples=False, collect_dags=False)
+        expected_message = "Deprecated provider behavior"
+        if not warning_from_dag_file:
+            expected_message += f" (Dag file: {dag_file.as_posix()})"
+
+        with pytest.warns(DeprecationWarning, match=re.escape(expected_message)):
+            dagbag.collect_dags(dag_folder=dagbag.dag_folder, include_examples=False, only_if_updated=False)
+
+        assert dagbag.captured_warnings == {
+            dag_file.as_posix(): (f"{warning_source}:7: DeprecationWarning: {expected_message}",)
+        }
+
     @pytest.fixture
     def warning_zipped_dag_path(self, tmp_path: pathlib.Path) -> str:
         warnings_dag_file = TEST_DAGS_FOLDER / "test_dag_warnings.py"