diff --git a/R/priors.R b/R/priors.R
index d6acd26a1..83d7fad62 100644
--- a/R/priors.R
+++ b/R/priors.R
@@ -2051,6 +2051,10 @@ eval_dirichlet <- function(prior, len = NULL, env = NULL) {
 #'   See the documentation of \code{\link{brm}} for instructions
 #'   on how to increase \code{adapt_delta}.
 #'
+#'   The prior does not account for scale differences of the terms it is
+#'   applied on. Accordingly, please make sure that all these terms have a
+#'   comparable scale to ensure that shrinkage is applied properly.
+#'
 #'   Currently, the following classes support the horseshoe prior: \code{b}
 #'   (overall regression coefficients), \code{sds} (SDs of smoothing splines),
 #'   \code{sdgp} (SDs of Gaussian processes), \code{ar} (autoregressive
@@ -2148,6 +2152,10 @@ horseshoe <- function(df = 1, scale_global = 1, df_global = 1,
 #'   See the Examples section below.
 #'
 #' @details
+#'   The prior does not account for scale differences of the terms it is
+#'   applied on. Accordingly, please make sure that all these terms have a
+#'   comparable scale to ensure that shrinkage is applied properly.
+#'
 #'   Currently, the following classes support the R2D2(M2) prior: \code{b}
 #'   (overall regression coefficients), \code{sds} (SDs of smoothing splines),
 #'   \code{sdgp} (SDs of Gaussian processes), \code{ar} (autoregressive
diff --git a/man/R2D2.Rd b/man/R2D2.Rd
index 408f7c393..5f03c9147 100644
--- a/man/R2D2.Rd
+++ b/man/R2D2.Rd
@@ -31,7 +31,11 @@ Function used to set up R2D2(M2) priors in \pkg{brms}. The function does
 not evaluate its arguments -- it exists purely to help set up the model.
 }
 \details{
-Currently, the following classes support the R2D2(M2) prior: \code{b}
+The prior does not account for scale differences of the terms it is
+  applied on. Accordingly, please make sure that all these terms have a
+  comparable scale to ensure that shrinkage is applied properly.
+
+  Currently, the following classes support the R2D2(M2) prior: \code{b}
   (overall regression coefficients), \code{sds} (SDs of smoothing splines),
   \code{sdgp} (SDs of Gaussian processes), \code{ar} (autoregressive
   coefficients), \code{ma} (moving average coefficients), \code{sderr} (SD of
diff --git a/man/horseshoe.Rd b/man/horseshoe.Rd
index 035557ec1..5e9c83138 100644
--- a/man/horseshoe.Rd
+++ b/man/horseshoe.Rd
@@ -103,6 +103,10 @@ The horseshoe prior is a special shrinkage prior initially proposed by
   See the documentation of \code{\link{brm}} for instructions
   on how to increase \code{adapt_delta}.
 
+  The prior does not account for scale differences of the terms it is
+  applied on. Accordingly, please make sure that all these terms have a
+  comparable scale to ensure that shrinkage is applied properly.
+
   Currently, the following classes support the horseshoe prior: \code{b}
   (overall regression coefficients), \code{sds} (SDs of smoothing splines),
   \code{sdgp} (SDs of Gaussian processes), \code{ar} (autoregressive