Dyfed Powys Police says it is worried about 38-year-old Rebecca Croxford, from the Milford Haven area, who was reported missing on Saturday.
They think Rebecca is in the Gwent area. She is likely to be using public transport and may have travelled out of Pembrokeshire by bus or train in the past few days.
She is described as being around 5ft 6 inches tall, with dark coloured shoulder length hair. She is thought to be wearing a khaki parka coat with brown boots and blue jeans.
Anyone who has seen Rebecca, or knows of her whereabouts, is asked to report information by calling 101.