diff --git a/docs/misc/changelog.rst b/docs/misc/changelog.rst
index 434b094..b6efffc 100644
--- a/docs/misc/changelog.rst
+++ b/docs/misc/changelog.rst
@@ -57,6 +57,7 @@ Others:
 - Fixed ``stable_baselines3/common/env_util.py`` type hints
 - Fixed ``stable_baselines3/common/preprocessing.py`` type hints
 - Fixed ``stable_baselines3/common/atari_wrappers.py`` type hints
+- Fixed ``stable_baselines3/common/vec_env/vec_check_nan.py`` type hints
 - Exposed modules in ``__init__.py`` with the ``__all__`` attribute (@ZikangXiong)
 - Upgraded GitHub CI/setup-python to v4 and checkout to v3
 - Set tensors construction directly on the device (~8% speed boost on GPU)
diff --git a/setup.cfg b/setup.cfg
index 6b5651c..ca40fa6 100644
--- a/setup.cfg
+++ b/setup.cfg
@@ -52,7 +52,6 @@ exclude = (?x)(
     | stable_baselines3/common/vec_env/stacked_observations.py$
     | stable_baselines3/common/vec_env/subproc_vec_env.py$
     | stable_baselines3/common/vec_env/util.py$
-    | stable_baselines3/common/vec_env/vec_check_nan.py$
     | stable_baselines3/common/vec_env/vec_extract_dict_obs.py$
     | stable_baselines3/common/vec_env/vec_frame_stack.py$
     | stable_baselines3/common/vec_env/vec_monitor.py$
diff --git a/stable_baselines3/common/vec_env/vec_check_nan.py b/stable_baselines3/common/vec_env/vec_check_nan.py
index 258f9c2..a6409bc 100644
--- a/stable_baselines3/common/vec_env/vec_check_nan.py
+++ b/stable_baselines3/common/vec_env/vec_check_nan.py
@@ -11,44 +11,40 @@ class VecCheckNan(VecEnvWrapper):
     allowing you to know from what the NaN of inf originated from.
 
     :param venv: the vectorized environment to wrap
-    :param raise_exception: Whether or not to raise a ValueError, instead of a UserWarning
-    :param warn_once: Whether or not to only warn once.
-    :param check_inf: Whether or not to check for +inf or -inf as well
+    :param raise_exception: Whether to raise a ValueError, instead of a UserWarning
+    :param warn_once: Whether to only warn once.
+    :param check_inf: Whether to check for +inf or -inf as well
     """
 
-    def __init__(self, venv: VecEnv, raise_exception: bool = False, warn_once: bool = True, check_inf: bool = True):
-        VecEnvWrapper.__init__(self, venv)
+    def __init__(self, venv: VecEnv, raise_exception: bool = False, warn_once: bool = True, check_inf: bool = True) -> None:
+        super().__init__(venv)
         self.raise_exception = raise_exception
         self.warn_once = warn_once
         self.check_inf = check_inf
-        self._actions = None
-        self._observations = None
+
         self._user_warned = False
 
-    def step_async(self, actions: np.ndarray) -> None:
-        self._check_val(async_step=True, actions=actions)
+        self._actions: np.ndarray
+        self._observations: VecEnvObs
 
+    def step_async(self, actions: np.ndarray) -> None:
+        self._check_val(event="step_async", actions=actions)
         self._actions = actions
         self.venv.step_async(actions)
 
     def step_wait(self) -> VecEnvStepReturn:
-        observations, rewards, news, infos = self.venv.step_wait()
-
-        self._check_val(async_step=False, observations=observations, rewards=rewards, news=news)
-
+        observations, rewards, dones, infos = self.venv.step_wait()
+        self._check_val(event="step_wait", observations=observations, rewards=rewards, dones=dones)
         self._observations = observations
-        return observations, rewards, news, infos
+        return observations, rewards, dones, infos
 
     def reset(self) -> VecEnvObs:
         observations = self.venv.reset()
-        self._actions = None
-
-        self._check_val(async_step=False, observations=observations)
-
+        self._check_val(event="reset", observations=observations)
         self._observations = observations
         return observations
 
-    def _check_val(self, *, async_step: bool, **kwargs) -> None:
+    def _check_val(self, event: str, **kwargs) -> None:
         # if warn and warn once and have warned once: then stop checking
         if not self.raise_exception and self.warn_once and self._user_warned:
             return
@@ -72,13 +68,14 @@ class VecCheckNan(VecEnvWrapper):
 
             msg += ".\r\nOriginated from the "
 
-            if not async_step:
-                if self._actions is None:
-                    msg += "environment observation (at reset)"
-                else:
-                    msg += f"environment, Last given value was: \r\n\taction={self._actions}"
-            else:
+            if event == "reset":
+                msg += "environment observation (at reset)"
+            elif event == "step_wait":
+                msg += f"environment, Last given value was: \r\n\taction={self._actions}"
+            elif event == "step_async":
                 msg += f"RL model, Last given value was: \r\n\tobservations={self._observations}"
+            else:
+                raise ValueError("Internal error.")
 
             if self.raise_exception:
                 raise ValueError(msg)