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Aided by advances in neural density estimation, considerable progress has been made in recent years towards a suite of simulation-based inference (SBI) methods capable of performing flexible, black-box, approximate Bayesian inference for stochastic simulation models. While it has been demonstrated that neural SBI methods can provide accurate posterior approximations, the simulation studies establishing these results have considered only well-specified problems -- that is, where the model and the data generating process coincide exactly. However, the behaviour of such algorithms in the case of model misspecification has received little attention. In this work, we provide the first comprehensive study of the behaviour of neural SBI algorithms in the presence of various forms of model misspecification. We find that misspecification can have a profoundly deleterious effect on performance. Some mitigation strategies are explored, but no approach tested prevents failure in all cases. We conclude that new approaches are required to address model misspecification if neural SBI algorithms are to be relied upon to derive accurate scientific conclusions.