diff --git a/python/ray/client_builder.py b/python/ray/client_builder.py
index cca8d792d..2e69456f3 100644
--- a/python/ray/client_builder.py
+++ b/python/ray/client_builder.py
@@ -2,8 +2,8 @@ import os
 import importlib
 import logging
 from dataclasses import dataclass
-from urllib.parse import urlparse
 import sys
+
 from typing import Any, Dict, Optional, Tuple
 
 from ray.ray_constants import RAY_ADDRESS_ENVIRONMENT_VARIABLE
@@ -128,9 +128,10 @@ def _split_address(address: str) -> Tuple[str, str]:
     """
     if "://" not in address:
         address = "ray://" + address
-    url_object = urlparse(address)
-    module_string = url_object.scheme
-    inner_address = address.replace(module_string + "://", "", 1)
+    # NOTE: We use a custom splitting function instead of urllib because
+    # PEP allows "underscores" in a module names, while URL schemes do not
+    # allow them.
+    module_string, inner_address = address.split("://", maxsplit=1)
     return (module_string, inner_address)
 
 
@@ -151,7 +152,14 @@ def _get_builder_from_address(address: Optional[str]) -> ClientBuilder:
             pass
         return _LocalClientBuilder(address)
     module_string, inner_address = _split_address(address)
-    module = importlib.import_module(module_string)
+    try:
+        module = importlib.import_module(module_string)
+    except Exception:
+        raise RuntimeError(
+            f"Module: {module_string} does not exist.\n"
+            f"This module was parsed from Address: {address}") from None
+    assert "ClientBuilder" in dir(module), (f"Module: {module_string} does "
+                                            "not have ClientBuilder.")
     return module.ClientBuilder(inner_address)
 
 
diff --git a/python/ray/tests/test_client_builder.py b/python/ray/tests/test_client_builder.py
index 909e36df1..c82f6e1ec 100644
--- a/python/ray/tests/test_client_builder.py
+++ b/python/ray/tests/test_client_builder.py
@@ -2,6 +2,7 @@ import os
 import pytest
 import subprocess
 import sys
+from unittest.mock import patch, Mock
 
 import ray
 import ray.util.client.server.server as ray_client_server
@@ -25,6 +26,9 @@ def test_split_address(address):
     specified_other_module = f"module://{address}"
     assert client_builder._split_address(specified_other_module) == ("module",
                                                                      address)
+    non_url_compliant_module = f"module_test://{address}"
+    assert client_builder._split_address(non_url_compliant_module) == (
+        "module", address)
 
 
 @pytest.mark.parametrize(
@@ -182,6 +186,41 @@ assert len(ray._private.services.find_redis_address()) == 1
     subprocess.check_output("ray stop --force", shell=True)
 
 
+def test_non_existent_modules():
+    exception = None
+    try:
+        ray.client("badmodule://address")
+    except RuntimeError as e:
+        exception = e
+
+    assert exception is not None, "Bad Module did not raise RuntimeException"
+    assert "does not exist" in str(exception)
+
+
+def test_module_lacks_client_builder():
+    mock_importlib = Mock()
+
+    def mock_import_module(module_string):
+        if module_string == "ray":
+            return ray
+        else:
+            # Mock() does not have a `ClientBuilder` in its scope
+            return Mock()
+
+    mock_importlib.import_module = mock_import_module
+    with patch("ray.client_builder.importlib", mock_importlib):
+        assert isinstance(ray.client(""), ray.ClientBuilder)
+        assert isinstance(ray.client("ray://"), ray.ClientBuilder)
+        exception = None
+        try:
+            ray.client("othermodule://")
+        except AssertionError as e:
+            exception = e
+        assert exception is not None, ("Module without ClientBuilder did not "
+                                       "raise AssertionError")
+        assert "does not have ClientBuilder" in str(exception)
+
+
 def test_disconnect(call_ray_stop_only):
     subprocess.check_output(
         "ray start --head --ray-client-server-port=25555", shell=True)