Danny Watson was last seen on Lauder Road in Dalkeith around 12:30am on Monday.
The 21-year-old has been described as around 5 feet 10 inches tall, slim build, brown hair tied back in a ponytail, facial hair and green eyes.
He was last seen wearing a black cap, long black jacket with collar, black skinny jeans and black Dr Marten boots.
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Inspector King from Dalkeith Police station said: "Danny has been missing for a number of hours now, this is completely out of character for him and his family and friends are understandably worried about him.
"Police Scotland have a number of police resources out looking for Danny and we are now looking for the assistance from the public.
"If you believe you have seen Danny or have any information please contact 101 quoting incident no. 3397 of the 1 November 2021."