diff --git a/src/httpx2/httpx2/_sse.py b/src/httpx2/httpx2/_sse.py
index f04c4703..f420a22a 100644
--- a/src/httpx2/httpx2/_sse.py
+++ b/src/httpx2/httpx2/_sse.py
@@ -10,7 +10,7 @@
 from collections.abc import AsyncIterator, Iterator
 from dataclasses import dataclass
 
-from ._exceptions import TransportError
+from ._exceptions import TransportError, request_context
 from ._models import Response
 
 __all__ = ["EventSource", "SSEError", "ServerSentEvent"]
@@ -124,35 +124,34 @@ def response(self) -> Response:
     def _check_content_type(self) -> None:
         content_type, _, _ = self._response.headers.get("content-type", "").partition(";")
         if content_type.strip().lower() != "text/event-stream":
-            raise SSEError(
-                f"Expected response with content type 'text/event-stream', got {content_type.strip()!r}.",
-                request=self._response.request,
-            )
+            raise SSEError(f"Expected response with content type 'text/event-stream', got {content_type.strip()!r}.")
 
     def __iter__(self) -> Iterator[ServerSentEvent]:
-        self._check_content_type()
-        decoder = _SSEDecoder()
-        lines = _SSELineDecoder()
-        for chunk in self._response.iter_text():
-            for line in lines.decode(chunk):
+        with request_context(request=self._response._request):
+            self._check_content_type()
+            decoder = _SSEDecoder()
+            lines = _SSELineDecoder()
+            for chunk in self._response.iter_text():
+                for line in lines.decode(chunk):
+                    sse = decoder.decode(line)
+                    if sse is not None:
+                        yield sse
+            for line in lines.flush():
                 sse = decoder.decode(line)
                 if sse is not None:
                     yield sse
-        for line in lines.flush():
-            sse = decoder.decode(line)
-            if sse is not None:
-                yield sse
 
     async def __aiter__(self) -> AsyncIterator[ServerSentEvent]:
-        self._check_content_type()
-        decoder = _SSEDecoder()
-        lines = _SSELineDecoder()
-        async for chunk in self._response.aiter_text():
-            for line in lines.decode(chunk):
+        with request_context(request=self._response._request):
+            self._check_content_type()
+            decoder = _SSEDecoder()
+            lines = _SSELineDecoder()
+            async for chunk in self._response.aiter_text():
+                for line in lines.decode(chunk):
+                    sse = decoder.decode(line)
+                    if sse is not None:
+                        yield sse
+            for line in lines.flush():
                 sse = decoder.decode(line)
                 if sse is not None:
                     yield sse
-        for line in lines.flush():
-            sse = decoder.decode(line)
-            if sse is not None:
-                yield sse
diff --git a/tests/httpx2/test_sse.py b/tests/httpx2/test_sse.py
index ae32fe2f..51a11c42 100644
--- a/tests/httpx2/test_sse.py
+++ b/tests/httpx2/test_sse.py
@@ -153,9 +153,11 @@ def handler(request: httpx2.Request) -> httpx2.Response:
 
     with httpx2.Client(transport=httpx2.MockTransport(handler)) as client:
         with client.sse("http://testserver/sse") as source:
-            with pytest.raises(httpx2.SSEError, match="text/event-stream"):
+            with pytest.raises(httpx2.SSEError, match="text/event-stream") as exc_info:
                 list(source)
 
+    assert exc_info.value.request.url == "http://testserver/sse"
+
 
 @pytest.mark.anyio
 async def test_content_type_mismatch_raises_async() -> None:
@@ -164,9 +166,19 @@ def handler(request: httpx2.Request) -> httpx2.Response:
 
     async with httpx2.AsyncClient(transport=httpx2.MockTransport(handler)) as client:
         async with client.sse("http://testserver/sse") as source:
-            with pytest.raises(httpx2.SSEError, match="text/event-stream"):
+            with pytest.raises(httpx2.SSEError, match="text/event-stream") as exc_info:
                 [event async for event in source]
 
+    assert exc_info.value.request.url == "http://testserver/sse"
+
+
+def test_event_source_without_request() -> None:
+    response = httpx2.Response(200, content=b"data: hi\n\n", headers={"Content-Type": "text/event-stream"})
+
+    (event,) = list(httpx2.EventSource(response))
+
+    assert event.data == "hi"
+
 
 def test_sets_sse_headers() -> None:
     captured: dict[str, str] = {}