diff --git a/src/pendulum/locales/locale.py b/src/pendulum/locales/locale.py
index 951ba8be..2b70a473 100644
--- a/src/pendulum/locales/locale.py
+++ b/src/pendulum/locales/locale.py
@@ -32,6 +32,10 @@ def load(cls, locale: str | Locale) -> Locale:
         if locale in cls._cache:
             return cls._cache[locale]
 
+        # A locale is a package name, not a path
+        if not re.fullmatch("[a-z]+(_[a-z0-9]+)*", locale):
+            raise ValueError(f"Locale [{locale}] does not exist.")
+
         # Checking locale existence
         actual_locale = locale
         locale_path = cast(Path, resources.files(__package__).joinpath(actual_locale))
diff --git a/tests/test_helpers.py b/tests/test_helpers.py
index a9660495..4bab1f40 100644
--- a/tests/test_helpers.py
+++ b/tests/test_helpers.py
@@ -160,6 +160,12 @@ def test_set_locale_malformed_locale(locale: str) -> None:
     pendulum.set_locale("en")
 
 
+@pytest.mark.parametrize("locale", ["..", "../tz", "en/../en"])
+def test_set_locale_path_is_invalid(locale: str) -> None:
+    with pytest.raises(ValueError):
+        pendulum.set_locale(locale)
+
+
 def test_week_starts_at() -> None:
     pendulum.week_starts_at(pendulum.SATURDAY)