An alternate way to test is by using the ref function, this would avoid autovivification in a way similar to the on the first key then the existence of key beneath it option suggested. That other method might not work correctly because 'bar' may be a real key, but its content might not be an anonymous hash. In other words the key exists so the first test would pass and then cause an error similar to:

Can't use string ("key bar's value") as a HASH ref while "strict refs"
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The sub routine suggested by Aristotle suffers from the same problem. However there is no mention in the orignal post as to how complex the data structure might be, but I in my own experience I have been biten by similar problems.

Perl fails as early as possible in the truth process, that is the ref fails so it doesn't bother attempting to try the second operation, thereby avoiding the problem.
Here it is with the ref and no value for 'bar'

#!/usr/bin/perl

use strict;
use warnings;

my %foo;

if(exists($foo{qux})) {
    print "\$foo{qux} exists";
}

if(ref $foo{bar} eq 'HASH' && exists($foo{bar}{baz})) {
    print "\$foo{bar}{baz} exists\n";
}

if(exists($foo{bar})) {
    print "\$foo{bar} popped into existence\n";
}
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Now if we assign a scalar value to bar and try again it still works.

#!/usr/bin/perl

use strict;
use warnings;

my %foo;

$foo{bar} = "key bar's value";

if(exists($foo{qux})) {
    print "\$foo{qux} exists";
}

if(ref $foo{bar} eq 'HASH' && exists($foo{bar}{baz})) {
    print "\$foo{bar}{baz} exists\n";
}

if(exists($foo{bar})) {
    print "\$foo{bar} popped into existence\n";
}
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And finally with exist && exist to produce our error.

#!/usr/bin/perl

use strict;
use warnings;

my %foo;

$foo{bar} = "key bar's value";

if(exists($foo{qux})) {
    print "\$foo{qux} exists";
}

if(exists($foo{bar}) && exists($foo{bar}{baz})) {
    print "\$foo{bar}{baz} exists\n";
}

if(exists($foo{bar})) {
    print "\$foo{bar} popped into existence\n";
}
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