diff --git a/gitlab/client.py b/gitlab/client.py
@@ -17,6 +17,7 @@
 """Wrapper for the GitLab API."""
 
 import os
+import re
 import time
 from typing import Any, cast, Dict, List, Optional, Tuple, TYPE_CHECKING, Union
 
@@ -65,6 +66,8 @@ class Gitlab:
         user_agent: A custom user agent to use for making HTTP requests.
         retry_transient_errors: Whether to retry after 500, 502, 503, 504
             or 52x responses. Defaults to False.
+        keep_base_url: keep user-provided base URL for pagination if it
+            differs from response headers
     """
 
     def __init__(
@@ -84,6 +87,7 @@ def __init__(
         order_by: Optional[str] = None,
         user_agent: str = gitlab.const.USER_AGENT,
         retry_transient_errors: bool = False,
+        keep_base_url: bool = False,
     ) -> None:
 
         self._api_version = str(api_version)
@@ -94,6 +98,7 @@ def __init__(
         #: Timeout to use for requests to gitlab server
         self.timeout = timeout
         self.retry_transient_errors = retry_transient_errors
+        self.keep_base_url = keep_base_url
         #: Headers that will be used in request to GitLab
         self.headers = {"User-Agent": user_agent}
 
@@ -1132,6 +1137,30 @@ def _query(
                 next_url = requests.utils.parse_header_links(result.headers["links"])[
                     0
                 ]["url"]
+            # if the next url is different with user provided server URL
+            # then give a warning it may because of misconfiguration
+            # but if the option to fix provided then just reconstruct it
+            if not next_url.startswith(self._gl.url):
+                search_api_url = re.search(r"(^.*?/api)", next_url)
+                if search_api_url:
+                    next_api_url = search_api_url.group(1)
+                    if self._gl.keep_base_url:
+                        next_url = next_url.replace(
+                            next_api_url, f"{self._gl._base_url}/api"
+                        )
+                    else:
+                        utils.warn(
+                            message=(
+                                f"The base URL in the server response"
+                                f"differs from the user-provided base URL "
+                                f"({self._gl.url}/api/ -> {next_api_url}/). "
+                                f"This may lead to unexpected behavior and  "
+                                f"broken pagination. Use `keep_base_url=True` "
+                                f"when initializing the Gitlab instance "
+                                f"to follow the user-provided base URL."
+                            ),
+                            category=UserWarning,
+                        )
             self._next_url = next_url
         except KeyError:
             self._next_url = None

diff --git a/tests/unit/test_gitlab.py b/tests/unit/test_gitlab.py
@@ -353,3 +353,58 @@ def test_gitlab_plain_const_does_not_warn(recwarn):
 
     assert not recwarn
     assert no_access == 0
+
+
+@responses.activate
+@pytest.mark.parametrize(
+    "kwargs,link_header,expected_next_url,show_warning",
+    [
+        (
+            {},
+            "<http://localhost/api/v4/tests?per_page=1&page=2>;" ' rel="next"',
+            "http://localhost/api/v4/tests?per_page=1&page=2",
+            False,
+        ),
+        (
+            {},
+            "<http://orig_host/api/v4/tests?per_page=1&page=2>;" ' rel="next"',
+            "http://orig_host/api/v4/tests?per_page=1&page=2",
+            True,
+        ),
+        (
+            {"keep_base_url": True},
+            "<http://orig_host/api/v4/tests?per_page=1&page=2>;" ' rel="next"',
+            "http://localhost/api/v4/tests?per_page=1&page=2",
+            False,
+        ),
+    ],
+    ids=["url-match-does-not-warn", "url-mismatch-warns", "url-mismatch-keeps-url"],
+)
+def test_gitlab_keep_base_url(kwargs, link_header, expected_next_url, show_warning):
+    responses.add(
+        **{
+            "method": responses.GET,
+            "url": "http://localhost/api/v4/tests",
+            "json": [{"a": "b"}],
+            "headers": {
+                "X-Page": "1",
+                "X-Next-Page": "2",
+                "X-Per-Page": "1",
+                "X-Total-Pages": "2",
+                "X-Total": "2",
+                "Link": (link_header),
+            },
+            "content_type": "application/json",
+            "status": 200,
+            "match": helpers.MATCH_EMPTY_QUERY_PARAMS,
+        }
+    )
+
+    gl = gitlab.Gitlab(url="http://localhost", **kwargs)
+    if show_warning:
+        with pytest.warns(UserWarning) as warn_record:
+            obj = gl.http_list("/tests", iterator=True)
+        assert len(warn_record) == 1
+    else:
+        obj = gl.http_list("/tests", iterator=True)
+    assert obj._next_url == expected_next_url