diff --git a/pandora_client/__init__.py b/pandora_client/__init__.py
index 77c5dea..8d5402e 100644
--- a/pandora_client/__init__.py
+++ b/pandora_client/__init__.py
@@ -91,7 +91,10 @@ class Client(object):
             conn.commit()
 
     def _conn(self):
-        db_conn = os.path.expanduser(self._config['cache'])
+        dbfile = self._config['cache']
+        if not os.path.exists(os.path.dirname(dbfile)):
+            os.makedirs(os.path.dirname(dbfile))
+        db_conn = os.path.expanduser(dbfile)
         conn = sqlite3.connect(db_conn, timeout=10)
         conn.text_factory = sqlite3.OptimizedUnicode
         return conn, conn.cursor()