diff --git a/homeassistant/components/sensor/mqtt.py b/homeassistant/components/sensor/mqtt.py
index 49d090f7e1e..ae4a0f2f1ad 100644
--- a/homeassistant/components/sensor/mqtt.py
+++ b/homeassistant/components/sensor/mqtt.py
@@ -17,7 +17,8 @@ from homeassistant.components.mqtt import (
     ATTR_DISCOVERY_HASH, CONF_AVAILABILITY_TOPIC, CONF_PAYLOAD_AVAILABLE,
     CONF_PAYLOAD_NOT_AVAILABLE, CONF_QOS, CONF_STATE_TOPIC, MqttAttributes,
     MqttAvailability, MqttDiscoveryUpdate, MqttEntityDeviceInfo, subscription)
-from homeassistant.components.mqtt.discovery import MQTT_DISCOVERY_NEW
+from homeassistant.components.mqtt.discovery import (
+    ALREADY_DISCOVERED, MQTT_DISCOVERY_NEW)
 from homeassistant.components.sensor import DEVICE_CLASSES_SCHEMA
 from homeassistant.const import (
     CONF_FORCE_UPDATE, CONF_NAME, CONF_VALUE_TEMPLATE, STATE_UNKNOWN,
@@ -66,9 +67,15 @@ async def async_setup_entry(hass, config_entry, async_add_entities):
     """Set up MQTT sensors dynamically through MQTT discovery."""
     async def async_discover_sensor(discovery_payload):
         """Discover and add a discovered MQTT sensor."""
-        config = PLATFORM_SCHEMA(discovery_payload)
-        await _async_setup_entity(config, async_add_entities,
-                                  discovery_payload[ATTR_DISCOVERY_HASH])
+        try:
+            discovery_hash = discovery_payload[ATTR_DISCOVERY_HASH]
+            config = PLATFORM_SCHEMA(discovery_payload)
+            await _async_setup_entity(config, async_add_entities,
+                                      discovery_hash)
+        except:  # noqa: E722
+            if discovery_hash:
+                del hass.data[ALREADY_DISCOVERED][discovery_hash]
+            raise
 
     async_dispatcher_connect(hass,
                              MQTT_DISCOVERY_NEW.format(sensor.DOMAIN, 'mqtt'),
diff --git a/tests/components/sensor/test_mqtt.py b/tests/components/sensor/test_mqtt.py
index 79ba2c7a512..739e81258c2 100644
--- a/tests/components/sensor/test_mqtt.py
+++ b/tests/components/sensor/test_mqtt.py
@@ -474,7 +474,7 @@ async def test_discovery_removal_sensor(hass, mqtt_mock, caplog):
 
 
 async def test_discovery_update_sensor(hass, mqtt_mock, caplog):
-    """Test removal of discovered sensor."""
+    """Test update of discovered sensor."""
     entry = MockConfigEntry(domain=mqtt.DOMAIN)
     await async_start(hass, 'homeassistant', {}, entry)
     data1 = (
@@ -506,6 +506,39 @@ async def test_discovery_update_sensor(hass, mqtt_mock, caplog):
     assert state is None
 
 
+async def test_discovery_broken(hass, mqtt_mock, caplog):
+    """Test handling of bad discovery message."""
+    entry = MockConfigEntry(domain=mqtt.DOMAIN)
+    await async_start(hass, 'homeassistant', {}, entry)
+
+    data1 = (
+        '{ "name": "Beer",'
+        '  "state_topic": "test_topic#" }'
+    )
+    data2 = (
+        '{ "name": "Milk",'
+        '  "state_topic": "test_topic" }'
+    )
+
+    async_fire_mqtt_message(hass, 'homeassistant/sensor/bla/config',
+                            data1)
+    await hass.async_block_till_done()
+
+    state = hass.states.get('sensor.beer')
+    assert state is None
+
+    async_fire_mqtt_message(hass, 'homeassistant/sensor/bla/config',
+                            data2)
+    await hass.async_block_till_done()
+    await hass.async_block_till_done()
+
+    state = hass.states.get('sensor.milk')
+    assert state is not None
+    assert state.name == 'Milk'
+    state = hass.states.get('sensor.beer')
+    assert state is None
+
+
 async def test_entity_device_info_with_identifier(hass, mqtt_mock):
     """Test MQTT sensor device registry integration."""
     entry = MockConfigEntry(domain=mqtt.DOMAIN)