Pauline Grey, 67, went missing from the Wairere Falls track on Sunday night, police said.
They said she drove her 2016 Mazda 3 hatchback to the waterfall track.
Her jacket was found near the start of the track.
Police are asking anyone with information, or who might have seen her or her car on 16 June.
"If you saw Pauline on the Wairere Falls track, picked her jacket up and placed it on a post near the start of the walking track, or saw her vehicle before 8pm, police would like to hear from you."
Police said her family "have concerns for her wellbeing".
A police drone is assisting the search operation which was launched on Sunday night.