diff --git a/pyrogram/client/client.py b/pyrogram/client/client.py
index 9955dd77..c2854796 100644
--- a/pyrogram/client/client.py
+++ b/pyrogram/client/client.py
@@ -516,6 +516,9 @@ class Client:
                     # Make file_dir if it was specified
                     os.makedirs(file_dir, exist_ok=True)
 
+                if file_name is not None:
+                    os.makedirs(os.path.dirname(file_name), exist_ok=True)
+
                 if isinstance(media, types.MessageMediaDocument):
                     document = media.document