diff --git a/requests/auth.py b/requests/auth.py
index fab05cf3..81a3d937 100644
--- a/requests/auth.py
+++ b/requests/auth.py
@@ -18,7 +18,6 @@ from base64 import b64encode
 from .compat import urlparse, str
 from .utils import parse_dict_header
 
-
 log = logging.getLogger(__name__)
 
 CONTENT_TYPE_FORM_URLENCODED = 'application/x-www-form-urlencoded'
@@ -159,10 +158,14 @@ class HTTPDigestAuth(AuthBase):
             # to allow our new request to reuse the same one.
             r.content
             r.raw.release_conn()
+            prep = r.request.copy()
+            prep.prepare_cookies(r.cookies)
 
-            r.request.headers['Authorization'] = self.build_digest_header(r.request.method, r.request.url)
-            _r = r.connection.send(r.request, **kwargs)
+            prep.headers['Authorization'] = self.build_digest_header(
+                prep.method, prep.url)
+            _r = r.connection.send(prep, **kwargs)
             _r.history.append(r)
+            _r.request = prep
 
             return _r
 
diff --git a/requests/sessions.py b/requests/sessions.py
index b87bd864..6aadfa35 100644
--- a/requests/sessions.py
+++ b/requests/sessions.py
@@ -74,10 +74,7 @@ class SessionRedirectMixin(object):
 
         # ((resp.status_code is codes.see_other))
         while (('location' in resp.headers and resp.status_code in REDIRECT_STATI)):
-            prepared_request = PreparedRequest()
-            prepared_request.body = req.body
-            prepared_request.headers = req.headers.copy()
-            prepared_request.hooks = req.hooks
+            prepared_request = req.copy()
 
             resp.content  # Consume socket so it can be released
 
@@ -468,6 +465,10 @@ class Session(SessionRedirectMixin):
         r = dispatch_hook('response', hooks, r, **kwargs)
 
         # Persist cookies
+        if r.history:
+            # If the hooks create history then we want those cookies too
+            for resp in r.history:
+                extract_cookies_to_jar(self.cookies, resp.request, resp.raw)
         extract_cookies_to_jar(self.cookies, request, r.raw)
 
         # Redirect resolving generator.
diff --git a/test_requests.py b/test_requests.py
index 96905a16..c9572a67 100755
--- a/test_requests.py
+++ b/test_requests.py
@@ -267,10 +267,26 @@ class RequestsTestCase(unittest.TestCase):
         self.assertEqual(r.status_code, 401)
 
         s = requests.session()
-        s.auth = auth
+        s.auth = HTTPDigestAuth('user', 'pass')
         r = s.get(url)
         self.assertEqual(r.status_code, 200)
 
+    def test_DIGEST_AUTH_RETURNS_COOKIE(self):
+        url = httpbin('digest-auth', 'auth', 'user', 'pass')
+        auth = HTTPDigestAuth('user', 'pass')
+        r = requests.get(url)
+        assert r.cookies['fake'] == 'fake_value'
+
+        r = requests.get(url, auth=auth)
+        assert r.status_code == 200
+
+    def test_DIGEST_AUTH_SETS_SESSION_COOKIES(self):
+        url = httpbin('digest-auth', 'auth', 'user', 'pass')
+        auth = HTTPDigestAuth('user', 'pass')
+        s = requests.Session()
+        s.get(url, auth=auth)
+        assert s.cookies['fake'] == 'fake_value'
+
     def test_DIGEST_STREAM(self):
 
         auth = HTTPDigestAuth('user', 'pass')