diff --git a/doc/source/whatsnew/v1.3.0.rst b/doc/source/whatsnew/v1.3.0.rst
index 53f254aee2e0e..811b31edf301a 100644
--- a/doc/source/whatsnew/v1.3.0.rst
+++ b/doc/source/whatsnew/v1.3.0.rst
@@ -267,7 +267,7 @@ Groupby/resample/rolling
 Reshaping
 ^^^^^^^^^
 
--
+- Bug in :meth:`DataFrame.unstack` with missing levels led to incorrect index names (:issue:`37510`)
 -
 
 Sparse
diff --git a/pandas/core/indexes/multi.py b/pandas/core/indexes/multi.py
index 5312dfe84cfd8..bb8f344d4f0f8 100644
--- a/pandas/core/indexes/multi.py
+++ b/pandas/core/indexes/multi.py
@@ -1979,6 +1979,9 @@ def remove_unused_levels(self):
             has_na = int(len(uniques) and (uniques[0] == -1))
 
             if len(uniques) != len(lev) + has_na:
+
+                if lev.isna().any() and len(uniques) == len(lev):
+                    break
                 # We have unused levels
                 changed = True
 
diff --git a/pandas/tests/frame/test_stack_unstack.py b/pandas/tests/frame/test_stack_unstack.py
index 9825bcb0b5d57..e8ae9f6584ad6 100644
--- a/pandas/tests/frame/test_stack_unstack.py
+++ b/pandas/tests/frame/test_stack_unstack.py
@@ -1907,3 +1907,27 @@ def test_unstack_with_missing_int_cast_to_float(self):
             ),
         )
         tm.assert_frame_equal(result, expected)
+
+    def test_unstack_with_level_has_nan(self):
+        # GH 37510
+        df1 = DataFrame(
+            {
+                "L1": [1, 2, 3, 4],
+                "L2": [3, 4, 1, 2],
+                "L3": [1, 1, 1, 1],
+                "x": [1, 2, 3, 4],
+            }
+        )
+        df1 = df1.set_index(["L1", "L2", "L3"])
+        new_levels = ["n1", "n2", "n3", None]
+        df1.index = df1.index.set_levels(levels=new_levels, level="L1")
+        df1.index = df1.index.set_levels(levels=new_levels, level="L2")
+
+        result = df1.unstack("L3")[("x", 1)].sort_index().index
+        expected = MultiIndex(
+            levels=[["n1", "n2", "n3", None], ["n1", "n2", "n3", None]],
+            codes=[[0, 1, 2, 3], [2, 3, 0, 1]],
+            names=["L1", "L2"],
+        )
+
+        tm.assert_index_equal(result, expected)
diff --git a/pandas/tests/indexes/multi/test_sorting.py b/pandas/tests/indexes/multi/test_sorting.py
index e5d178581136b..3de78c5e982d3 100644
--- a/pandas/tests/indexes/multi/test_sorting.py
+++ b/pandas/tests/indexes/multi/test_sorting.py
@@ -7,6 +7,7 @@
 
 from pandas import CategoricalIndex, DataFrame, Index, MultiIndex, RangeIndex
 import pandas._testing as tm
+from pandas.core.indexes.frozen import FrozenList
 
 
 def test_sortlevel(idx):
@@ -271,3 +272,13 @@ def test_argsort(idx):
     result = idx.argsort()
     expected = idx.values.argsort()
     tm.assert_numpy_array_equal(result, expected)
+
+
+def test_remove_unused_levels_with_nan():
+    # GH 37510
+    idx = Index([(1, np.nan), (3, 4)]).rename(["id1", "id2"])
+    idx = idx.set_levels(["a", np.nan], level="id1")
+    idx = idx.remove_unused_levels()
+    result = idx.levels
+    expected = FrozenList([["a", np.nan], [4]])
+    assert str(result) == str(expected)