diff --git a/src/initialization.jl b/src/initialization.jl
index aaf36bfcd..fb489e0dd 100644
--- a/src/initialization.jl
+++ b/src/initialization.jl
@@ -100,7 +100,8 @@ Check if the algebraic constraints are satisfied, and error if they aren't. Retu
 the `u0` and `p` as-is, and is always successful if it returns. Valid only for
 `ODEProblem` and `DAEProblem`. Requires a `DEIntegrator` as its second argument.
 """
-function get_initial_values(prob::ODEProblem, integrator, f, alg::CheckInit,
+function get_initial_values(
+        prob::AbstractDEProblem, integrator::DEIntegrator, f, alg::CheckInit,
         isinplace::Union{Val{true}, Val{false}}; kwargs...)
     u0 = state_values(integrator)
     p = parameter_values(integrator)
@@ -109,7 +110,7 @@ function get_initial_values(prob::ODEProblem, integrator, f, alg::CheckInit,
 
     algebraic_vars = [all(iszero, x) for x in eachcol(M)]
     algebraic_eqs = [all(iszero, x) for x in eachrow(M)]
-    (iszero(algebraic_vars) || iszero(algebraic_eqs)) && return
+    (iszero(algebraic_vars) || iszero(algebraic_eqs)) && return u0, p, true
     update_coefficients!(M, u0, p, t)
     tmp = _evaluate_f_ode(integrator, f, isinplace, u0, p, t)
     tmp .= ArrayInterface.restructure(tmp, algebraic_eqs .* _vec(tmp))
@@ -135,7 +136,8 @@ function _evaluate_f_dae(integrator, f, isinplace::Val{false}, args...)
     return f(args...)
 end
 
-function get_initial_values(prob::DAEProblem, integrator, f, alg::CheckInit,
+function get_initial_values(
+        prob::AbstractDAEProblem, integrator::DEIntegrator, f, alg::CheckInit,
         isinplace::Union{Val{true}, Val{false}}; kwargs...)
     u0 = state_values(integrator)
     p = parameter_values(integrator)
diff --git a/test/initialization.jl b/test/initialization.jl
index 3074aa690..c99ce74b6 100644
--- a/test/initialization.jl
+++ b/test/initialization.jl
@@ -1,4 +1,4 @@
-using OrdinaryDiffEq, NonlinearSolve, SymbolicIndexingInterface, Test
+using StochasticDiffEq, OrdinaryDiffEq, NonlinearSolve, SymbolicIndexingInterface, Test
 
 @testset "CheckInit" begin
     @testset "ODEProblem" begin
@@ -57,6 +57,44 @@ using OrdinaryDiffEq, NonlinearSolve, SymbolicIndexingInterface, Test
                 prob, integ, f, SciMLBase.CheckInit(), Val(SciMLBase.isinplace(f)))
         end
     end
+
+    @testset "SDEProblem" begin
+        mm_A = [1 0 0; 0 1 0; 0 0 0]
+        function sdef!(du, u, p, t)
+            du[1] = u[1]
+            du[2] = u[2]
+            du[3] = u[1] + u[2] + u[3] - 1
+        end
+        function sdef(u, p, t)
+            du = similar(u)
+            sdef!(du, u, p, t)
+            du
+        end
+
+        function g!(du, u, p, t)
+            @. du = 0.1
+        end
+        function g(u, p, t)
+            du = similar(u)
+            g!(du, u, p, t)
+            du
+        end
+        iipfn = SDEFunction{true}(sdef!, g!; mass_matrix = mm_A)
+        oopfn = SDEFunction{false}(sdef, g; mass_matrix = mm_A)
+
+        @testset "Inplace = $(SciMLBase.isinplace(f))" for f in [oopfn, iipfn]
+            prob = SDEProblem(f, [1.0, 1.0, -1.0], (0.0, 1.0))
+            integ = init(prob, ImplicitEM())
+            u0, _, success = SciMLBase.get_initial_values(
+                prob, integ, f, SciMLBase.CheckInit(), Val(SciMLBase.isinplace(f)))
+            @test success
+            @test u0 == prob.u0
+
+            integ.u[2] = 2.0
+            @test_throws SciMLBase.CheckInitFailureError SciMLBase.get_initial_values(
+                prob, integ, f, SciMLBase.CheckInit(), Val(SciMLBase.isinplace(f)))
+        end
+    end
 end
 
 @testset "OverrideInit" begin