diff --git a/changelog/4400.bugfix.rst b/changelog/4400.bugfix.rst
new file mode 100644
index 000000000..eb0df7eca
--- /dev/null
+++ b/changelog/4400.bugfix.rst
@@ -0,0 +1 @@
+Rearrange warning handling for the yield test errors so the opt-out in 4.0.x correctly works.
diff --git a/src/_pytest/python.py b/src/_pytest/python.py
index d360e2c8f..8912ca060 100644
--- a/src/_pytest/python.py
+++ b/src/_pytest/python.py
@@ -741,16 +741,20 @@ class FunctionMixin(PyobjMixin):
 
 class Generator(FunctionMixin, PyCollector):
     def collect(self):
+
         # test generators are seen as collectors but they also
         # invoke setup/teardown on popular request
         # (induced by the common "test_*" naming shared with normal tests)
         from _pytest import deprecated
 
+        self.warn(deprecated.YIELD_TESTS)
+
         self.session._setupstate.prepare(self)
         # see FunctionMixin.setup and test_setupstate_is_preserved_134
         self._preservedparent = self.parent.obj
         values = []
         seen = {}
+        _Function = self._getcustomclass("Function")
         for i, x in enumerate(self.obj()):
             name, call, args = self.getcallargs(x)
             if not callable(call):
@@ -764,11 +768,7 @@ class Generator(FunctionMixin, PyCollector):
                     "%r generated tests with non-unique name %r" % (self, name)
                 )
             seen[name] = True
-            with warnings.catch_warnings():
-                # ignore our own deprecation warning
-                function_class = self.Function
-            values.append(function_class(name, self, args=args, callobj=call))
-        self.warn(deprecated.YIELD_TESTS)
+            values.append(_Function(name, self, args=args, callobj=call))
         return values
 
     def getcallargs(self, obj):
diff --git a/testing/test_session.py b/testing/test_session.py
index e2c3701da..0dc98a703 100644
--- a/testing/test_session.py
+++ b/testing/test_session.py
@@ -4,6 +4,7 @@ from __future__ import print_function
 
 import pytest
 from _pytest.main import EXIT_NOTESTSCOLLECTED
+from _pytest.warnings import SHOW_PYTEST_WARNINGS_ARG
 
 
 class SessionTests(object):
@@ -77,7 +78,8 @@ class SessionTests(object):
             """
             def test_1():
                 yield None
-        """
+        """,
+            SHOW_PYTEST_WARNINGS_ARG,
         )
         failures = reprec.getfailedcollections()
         out = failures[0].longrepr.reprcrash.message