Document the headers parameter for set_tunnel.
diff --git a/Doc/library/http.client.rst b/Doc/library/http.client.rst
index 31a0a9a..7a6717b 100644
--- a/Doc/library/http.client.rst
+++ b/Doc/library/http.client.rst
@@ -386,11 +386,14 @@
 
    .. versionadded:: 3.1
 
-.. method:: HTTPConnection.set_tunnel(host, port=None)
+.. method:: HTTPConnection.set_tunnel(host, port=None, headers=None)
 
    Set the host and the port for HTTP Connect Tunnelling. Normally used when it
    is required to a HTTPS Connection through a proxy server.
 
+   The headers argument should be a mapping of extra HTTP headers to to sent
+   with the CONNECT request.
+
    .. versionadded:: 3.2
 
 .. method:: HTTPConnection.connect()