diff --git a/doc/whats_new/v1.3.rst b/doc/whats_new/v1.3.rst
index 1c1fb5c1c07a8..76bf1024a232c 100644
--- a/doc/whats_new/v1.3.rst
+++ b/doc/whats_new/v1.3.rst
@@ -275,6 +275,12 @@ Changelog
   during `transform` with no prior call to `fit` or `fit_transform`.
   :pr:`25190` by :user:`Vincent Maladière <Vincent-Maladiere>`.
 
+- |API| A `FutureWarning` is now raised when instantiating a class which inherits from
+  a deprecated base class (i.e. decorated by :class:`utils.deprecated`) and which
+  overrides the `__init__` method.
+  :pr:`25733` by :user:`Brigitta Sipőcz <bsipocz>` and
+  :user:`Jérémie du Boisberranger <jeremiedbb>`.
+
 :mod:`sklearn.semi_supervised`
 ..............................
 
diff --git a/sklearn/tests/test_docstring_parameters.py b/sklearn/tests/test_docstring_parameters.py
index 274f83445ee7f..8bf3e5dd7b24a 100644
--- a/sklearn/tests/test_docstring_parameters.py
+++ b/sklearn/tests/test_docstring_parameters.py
@@ -109,12 +109,11 @@ def test_docstring_parameters():
                     "Error for __init__ of %s in %s:\n%s" % (cls, name, w[0])
                 )
 
-            cls_init = getattr(cls, "__init__", None)
-
-            if _is_deprecated(cls_init):
+            # Skip checks on deprecated classes
+            if _is_deprecated(cls.__new__):
                 continue
-            elif cls_init is not None:
-                this_incorrect += check_docstring_parameters(cls.__init__, cdoc)
+
+            this_incorrect += check_docstring_parameters(cls.__init__, cdoc)
 
             for method_name in cdoc.methods:
                 method = getattr(cls, method_name)
diff --git a/sklearn/utils/deprecation.py b/sklearn/utils/deprecation.py
index 19d41aa1eaf85..a5a70ed699197 100644
--- a/sklearn/utils/deprecation.py
+++ b/sklearn/utils/deprecation.py
@@ -60,17 +60,18 @@ def _decorate_class(self, cls):
         if self.extra:
             msg += "; %s" % self.extra
 
-        # FIXME: we should probably reset __new__ for full generality
-        init = cls.__init__
+        new = cls.__new__
 
-        def wrapped(*args, **kwargs):
+        def wrapped(cls, *args, **kwargs):
             warnings.warn(msg, category=FutureWarning)
-            return init(*args, **kwargs)
+            if new is object.__new__:
+                return object.__new__(cls)
+            return new(cls, *args, **kwargs)
 
-        cls.__init__ = wrapped
+        cls.__new__ = wrapped
 
-        wrapped.__name__ = "__init__"
-        wrapped.deprecated_original = init
+        wrapped.__name__ = "__new__"
+        wrapped.deprecated_original = new
 
         return cls
 
diff --git a/sklearn/utils/tests/test_deprecation.py b/sklearn/utils/tests/test_deprecation.py
index b810cfb85d3f6..98c69a8abb780 100644
--- a/sklearn/utils/tests/test_deprecation.py
+++ b/sklearn/utils/tests/test_deprecation.py
@@ -36,6 +36,22 @@ class MockClass4:
     pass
 
 
+class MockClass5(MockClass1):
+    """Inherit from deprecated class but does not call super().__init__."""
+
+    def __init__(self, a):
+        self.a = a
+
+
+@deprecated("a message")
+class MockClass6:
+    """A deprecated class that overrides __new__."""
+
+    def __new__(cls, *args, **kwargs):
+        assert len(args) > 0
+        return super().__new__(cls)
+
+
 @deprecated()
 def mock_function():
     return 10
@@ -48,6 +64,10 @@ def test_deprecated():
         MockClass2().method()
     with pytest.warns(FutureWarning, match="deprecated"):
         MockClass3()
+    with pytest.warns(FutureWarning, match="qwerty"):
+        MockClass5(42)
+    with pytest.warns(FutureWarning, match="a message"):
+        MockClass6(42)
     with pytest.warns(FutureWarning, match="deprecated"):
         val = mock_function()
     assert val == 10
@@ -56,10 +76,11 @@ def test_deprecated():
 def test_is_deprecated():
     # Test if _is_deprecated helper identifies wrapping via deprecated
     # NOTE it works only for class methods and functions
-    assert _is_deprecated(MockClass1.__init__)
+    assert _is_deprecated(MockClass1.__new__)
     assert _is_deprecated(MockClass2().method)
     assert _is_deprecated(MockClass3.__init__)
     assert not _is_deprecated(MockClass4.__init__)
+    assert _is_deprecated(MockClass5.__new__)
     assert _is_deprecated(mock_function)