Guggenheim Credit Allocation Fund

Supplement dated April 22, 2020 to Prospectus dated September 10, 2019

Suspension and Recommencement of Offering. In accordance with an undertaking required by the U.S. Securities and Exchange Commission, the Guggenheim Credit Allocation Fund (the “Fund”) temporarily suspended its “at the market” offering (the “Offering”) as of the close of business on April 14, 2020 because of a greater than 10% decline in net asset value, from the effective date of the Prospectus, in part due to recent uncertainty, volatility and distress in economies, financial markets, and labor and health conditions. In addition, the Fund’s net asset value experienced a greater than 10% decline per common share of beneficial interest, par value $0.01 per share (the “Common Shares”). The Offering recommenced on April 22, 2020 as of the time of filing this supplement.

The net asset value at the close of business on April 20, 2020 was $140,101,689, representing a decline of $11,921,102 (7.84%) from the net asset value of $152,022,791 as of September 10, 2019, the date of the Fund’s Prospectus. The net asset value per Common Share at the close of business on April 20, 2020 was $16.06 and the last reported sales price on April 20, 2020 on the New York Stock Exchange was $15.55, representing a decline of $3.48 (17.81%) per Common Share from the net asset value per Common Share of $19.54 as of September 10, 2019, the date of the Fund’s Prospectus.

Risks. Thedisclosure at the beginning of the “Risks” section of the Prospectus is hereby deleted and replaced in its entirety with the following:

RISKS

Investors should consider the following risk factors and special considerations associated with investing in the Fund. Investors should be aware that, in light of the current uncertainty, volatility and distress in economies, financial markets, and labor and health conditions over the world, the risks below are heightened significantly compared to normal conditions and therefore subject the Fund’s investments and a shareholder’s investment in the Fund to elevated investment risk, including the possible loss of the entire principal amount invested.

Recent Market Developments Risk. The Fund’s “Recent Market Developments Risk” in the Fund’s “Prospectus Summary” and “Risks” sections of the Prospectus is hereby deleted in its entirety and replaced with the following:

Recent Market Developments Risk

Periods of market volatility remain, and may continue to occur in the future, in response to various political, social and economic events both within and outside of the United States. These conditions have resulted in, and in many cases continue to result in, greater price volatility, less liquidity, widening credit spreads and a lack of price transparency, with many securities remaining illiquid and of uncertain value. Such market conditions may adversely affect the Fund, including by making valuation of some of the Fund’s securities uncertain and/or result in sudden and significant valuation increases or declines in the Fund’s holdings. If there is a significant decline in the value of the Fund’s portfolio, this may impact the asset coverage levels for the Fund’s outstanding leverage.

Risks resulting from any future debt or other economic crisis could also have a detrimental impact on the global economic recovery, the financial condition of financial institutions and the Fund’s business, financial condition and results of operation. Market and economic disruptions have affected, and may in the future affect, consumer confidence levels and spending, personal bankruptcy rates, levels of incurrence and default on consumer debt and home prices, among other factors. To the extent uncertainty regarding the U.S. or global economy negatively impacts consumer confidence and consumer credit factors, the Fund’s business, financial condition and results of operations could be significantly and adversely affected. Downgrades to the credit ratings of major banks could result in increased borrowing costs for such banks and negatively affect the broader economy. Moreover, Federal Reserve policy, including with respect to certain interest rates, may also adversely affect the

value, volatility and liquidity of dividend- and interest-paying securities. Market volatility, rising interest rates and/or unfavorable economic conditions could impair the Fund’s ability to achieve its investment objective

The outbreak of COVID-19 is causing materially reduced consumer demand and economic output, disrupting supply chains, resulting in market closures, travel restrictions and quarantines, and adversely impacting local and global economies. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes, including by providing direct capital infusions into companies, introducing new monetary programs and considerably lowering interest rates, which, in some cases resulted in negative interest rates. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, heighten investor uncertainty and adversely affect the value of the Fund’s investments and the performance of the Fund.

Investment and Market Risk. The Fund’s “Investment and Market Risk” in the Fund’s “Prospectus Summary” and “Risks” sections of the Prospectus is hereby deleted in its entirety and replaced with the following:

Investment and Market Risk

An investment in Common Shares of the Fund is subject to investment risk, particularly under current economic, financial, labor and health conditions, including the possible loss of the entire principal amount that you invest. An investment in the Common Shares of the Fund represents an indirect investment in the securities owned by the Fund. . The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation. These movements may result from factors affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates, changes in inflation or expectations about inflation, investor confidence or economic, political, social or financial market conditions, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics) and other similar events, that each of which may be temporary or last for extended periods. For example, the risks of a borrower’s default or bankruptcy or non-payment of scheduled interest or principal payments from senior floating rate interests held by the Fund are especially acute under these conditions. Furthermore, interest rates and bond yields may fall as a result of types of events, including responses by governmental entities to such events, which would magnify the Fund’s fixed-income instruments’ susceptibility to interest rate risk and diminish their yield and performance.

Different sectors, industries and security types may react differently to such developments and, when the market performs well, there is no assurance that the Fund’s investments will increase in value along with the broader markets. Volatility of financial markets, including potentially extreme volatility caused by the events described above, can expose the Fund to greater market risk than normal, possibly resulting in greatly reduced liquidity. Moreover, changing economic, political, social or financial market conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region because of the increasingly interconnected global economies and financial markets. The Adviser and Sub-Adviser potentially could be prevented from considering, managing and executing investment decisions at an advantageous time or price or at all as a result of any domestic or global market or other disruptions, particularly disruptions causing heightened market volatility and reduced market liquidity, such as the current conditions, which have also resulted in impediments to the normal functioning of workforces, including personnel and systems of the Fund’s service providers and market intermediaries.

At any point in time, your Common Shares may be worth less than your original investment, including the reinvestment of Fund dividends and distributions.

Any questions related to the Offering should be directed to the Fund at 800-345-7999.