diff --git a/Source/Core/DolphinWX/Frame.cpp b/Source/Core/DolphinWX/Frame.cpp
index c077b2dfec..662739863c 100644
--- a/Source/Core/DolphinWX/Frame.cpp
+++ b/Source/Core/DolphinWX/Frame.cpp
@@ -211,6 +211,11 @@ bool CRenderFrame::ShowFullScreen(bool show, long style)
 	{
 		// OpenGL requires the pop-up style to activate exclusive mode.
 		SetWindowStyle((GetWindowStyle() & ~wxDEFAULT_FRAME_STYLE) | wxPOPUP_WINDOW);
+
+		// Some backends don't support exclusive fullscreen, so we
+		// can't tell exactly when exclusive mode is activated.
+		if (!g_Config.backend_info.bSupportsExclusiveFullscreen)
+			OSD::AddMessage("Enabled exclusive fullscreen.");
 	}
 #endif
 
diff --git a/Source/Core/VideoBackends/D3D/Render.cpp b/Source/Core/VideoBackends/D3D/Render.cpp
index cafe189115..7f3728a03a 100644
--- a/Source/Core/VideoBackends/D3D/Render.cpp
+++ b/Source/Core/VideoBackends/D3D/Render.cpp
@@ -43,6 +43,7 @@ namespace DX11
 static u32 s_last_multisample_mode = 0;
 static bool s_last_stereo_mode = false;
 static bool s_last_xfb_mode = false;
+static bool s_last_fullscreen = false;
 
 static Television s_television;
 
@@ -230,6 +231,7 @@ Renderer::Renderer(void *&window_handle)
 	s_last_efb_scale = g_ActiveConfig.iEFBScale;
 	s_last_stereo_mode = g_ActiveConfig.iStereoMode > 0;
 	s_last_xfb_mode = g_ActiveConfig.bUseRealXFB;
+	s_last_fullscreen = g_ActiveConfig.bFullscreen;
 	CalculateTargetSize(s_backbuffer_width, s_backbuffer_height);
 
 	SetupDeviceObjects();
@@ -885,6 +887,11 @@ void Renderer::SwapImpl(u32 xfbAddr, u32 fbWidth, u32 fbStride, u32 fbHeight, co
 	{
 		if (fullscreen && !exclusive_mode)
 		{
+			if (s_last_fullscreen)
+				OSD::AddMessage("Lost exclusive fullscreen.");
+
+			s_last_fullscreen = false;
+
 			// Exclusive fullscreen is enabled in the configuration, but we're
 			// not in exclusive mode. Either exclusive fullscreen was turned on
 			// or the render frame lost focus. When the render frame is in focus
@@ -915,6 +922,11 @@ void Renderer::SwapImpl(u32 xfbAddr, u32 fbWidth, u32 fbStride, u32 fbHeight, co
 			// Apply fullscreen state
 			if (fullscreen_changed)
 			{
+				s_last_fullscreen = fullscreen;
+
+				if (fullscreen)
+					OSD::AddMessage("Entered exclusive fullscreen.");
+
 				D3D::SetFullscreenState(fullscreen);
 
 				// If fullscreen is disabled we can safely notify the UI to exit fullscreen.