Reliable confidence estimation for deep neural classifiers is a challenging yet fundamental requirement in highstakes applications. Unfortunately, modern deep neural networks are often overconfident for their erroneous predictions. In this work, we exploit the easily available outlier samples, i.e., unlabeled samples coming from non-target classes, for helping detect misclassification errors. Particularly, we find that the well-known Outlier Exposure, which is powerful in detecting out-of-distribution (OOD) samples from unknown classes, does not provide any gain in identifying misclassification errors. Based on these observations, we propose a novel method called OpenMix, which incorporates open-world knowledge by learning to reject uncertain pseudo-samples generated via outlier transformation. OpenMix significantly improves confidence reliability under various scenarios, establishing a strong and unified framework for detecting both misclassified samples from known classes and OOD samples from unknown classes. The code is publicly available at https://github. com/Impression2805/OpenMix.