diff --git a/web/handler.go b/web/handler.go
index 0a2718d5..22931c59 100644
--- a/web/handler.go
+++ b/web/handler.go
@@ -95,16 +95,18 @@ func (u *webHandler) ServeHTTP(w http.ResponseWriter, r *http.Request) {
 		return
 	}
 
+	// Configure http headers. This happens before any request is turned away,
+	// so that the configured headers are present on every response and not
+	// only on the ones that reach the wrapped handler.
+	for k, v := range c.HTTPConfig.Header {
+		w.Header().Set(k, v)
+	}
+
 	if u.limiter != nil && !u.limiter.Allow() {
 		http.Error(w, http.StatusText(http.StatusTooManyRequests), http.StatusTooManyRequests)
 		return
 	}
 
-	// Configure http headers.
-	for k, v := range c.HTTPConfig.Header {
-		w.Header().Set(k, v)
-	}
-
 	if len(c.Users) == 0 {
 		u.handler.ServeHTTP(w, r)
 		return
diff --git a/web/headers_test.go b/web/headers_test.go
new file mode 100644
index 00000000..a25e51a6
--- /dev/null
+++ b/web/headers_test.go
@@ -0,0 +1,65 @@
+// Copyright The Prometheus Authors
+// Licensed under the Apache License, Version 2.0 (the "License");
+// you may not use this file except in compliance with the License.
+// You may obtain a copy of the License at
+//
+// http://www.apache.org/licenses/LICENSE-2.0
+//
+// Unless required by applicable law or agreed to in writing, software
+// distributed under the License is distributed on an "AS IS" BASIS,
+// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+// See the License for the specific language governing permissions and
+// limitations under the License.
+
+package web
+
+import (
+	"net/http"
+	"testing"
+)
+
+// TestHeadersOnRateLimitedResponse checks that the configured headers are set
+// on a response that the rate limiter turns away. A header policy such as
+// Strict-Transport-Security is meant to hold for every response from the
+// endpoint, not only for the ones that are served.
+func TestHeadersOnRateLimitedResponse(t *testing.T) {
+	server := &http.Server{
+		Handler: http.HandlerFunc(func(w http.ResponseWriter, _ *http.Request) {
+			w.Write([]byte("Hello World!"))
+		}),
+	}
+
+	addr := startTLSProtocolServer(t, server, "testdata/web_config_rate_limiter_headers.yaml")
+
+	// The burst is 1 over an interval of an hour, so the first request is
+	// served and every one after it is rate limited.
+	get := func() *http.Response {
+		t.Helper()
+		r, err := http.Get("http://" + addr)
+		if err != nil {
+			t.Fatal(err)
+		}
+		r.Body.Close()
+		return r
+	}
+
+	served := get()
+	if served.StatusCode != http.StatusOK {
+		t.Fatalf("first request: got status %d, expected %d", served.StatusCode, http.StatusOK)
+	}
+
+	limited := get()
+	if limited.StatusCode != http.StatusTooManyRequests {
+		t.Fatalf("second request: got status %d, expected %d", limited.StatusCode, http.StatusTooManyRequests)
+	}
+
+	for _, header := range []string{"X-Frame-Options", "Strict-Transport-Security"} {
+		want := served.Header.Get(header)
+		if want == "" {
+			t.Fatalf("%s was not set on the served response", header)
+		}
+		if got := limited.Header.Get(header); got != want {
+			t.Errorf("%s on the rate limited response = %q, expected %q", header, got, want)
+		}
+	}
+}
diff --git a/web/testdata/web_config_rate_limiter_headers.yaml b/web/testdata/web_config_rate_limiter_headers.yaml
new file mode 100644
index 00000000..6a8c64f4
--- /dev/null
+++ b/web/testdata/web_config_rate_limiter_headers.yaml
@@ -0,0 +1,7 @@
+rate_limit:
+  interval: 1h
+  burst: 1
+http_server_config:
+  headers:
+    X-Frame-Options: deny
+    Strict-Transport-Security: max-age=31536000; includeSubDomains