After reading through the updated docs, I found this:

Updated solution:

If an error occurs during load, SvelteKit will render a default error page. You can customise this error page on a per-route basis by adding an +error.svelte file:

src/routes/blog/[slug]/+error.svelte

<script>
  import { page } from '$app/stores';
</script>

<h1>{$page.status}: {$page.error.message}</h1>

SvelteKit will 'walk up the tree' looking for the closest error boundary — if the file above didn't exist it would try src/routes/blog/+error.svelte and src/routes/+error.svelte before rendering the default error page.

Of course, this is your own error page component so you may modify it however you want. I've put a GIF on mine, by the way, so that it would be nice-looking even though it's an error page, hoping that the users won't get that much irritated when they get an error on my site ;)

Outdated solution:

If you have the following in your code, please update it to the updated solution found in the docs (as shown above).

1. Create an __error.svelte file in your routes folder.
2. Inside that file, you can do this as shown in the docs:

<script context="module">
  export function load({ error, status }) {
      return {
          props: {
              title: `${status}: ${error.message}`
          }
      };
  }
</script>

<script>
  export let title;
</script>

<h1>{title}</h1>

3. We're not done yet! You can check for the status code and then render different screen components. (You can configure the props inside the load function, by the way):

<script context="module">
  export function load({ error, status }) {
      return {
          props: {
              message: error.message,
              status // same as status: status
          }
      };
  }
</script>

<script>
  import ErrorScreen from '../components/screens/ErrorScreen.svelte'; // your own Error screen component
  import NotFoundScreen from '../components/screens/NotFoundScreen.svelte'; // your own 404 screen component

  export let message;
  export let status;
</script>

{#if status == 404} <!-- Used '==' instead of '===' to match string/number status code (just to be sure) -->
  <NotFoundScreen />
{:else}
  <ErrorScreen {message} {status} />
{/if}

4. You're all set! You can test it out by changing the #if status == 404 to like #if status == 500 to see if everything works. (Don't forget to change it back to 404).

The accepted answer is outdated

You will find the up to date documentation on creating error pages here:

https://kit.svelte.dev/docs/routing#error

Quote from the documentation in-case the link breaks:

If an error occurs during load, SvelteKit will render a default error page. You can customise this error page on a per-route basis by adding an +error.svelte file:

src/routes/blog/[slug]/+error.svelte

<script>
  import { page } from '$app/stores';
</script>

<h1>{$page.status}: {$page.error.message}</h1>

SvelteKit will 'walk up the tree' looking for the closest error boundary — if the file above didn't exist it would try src/routes/blog/+error.svelte and src/routes/+error.svelte before rendering the default error page.