The woman, described as being aged in her 70s with grey hair, was spotted in a nightie walking barefoot along Rotherham Road in Maltby at 4.30am.
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She was seen walking towards High Street close to the junction of Blyth Road. Police carried out a search of the area but have not been able to locate her.
Officers have also contacted all residential homes in the immediate area and no-one has been reported missing.
Sergeant Mark Hitchenor said: “We are concerned that this lady may be confused or disorientated and are asking for your help to identify her. If you have a relative or friend that this could possibly be, please visit them or give them a call to check they are safe and well.
“If you know that this is your family member or neighbour and they are now home, please get in touch so we can be assured that this lady is safe. If you live in the area, please keep your eye out for this lady and if you see her, please contact 101 quoting incident 111 of today.
“It is vital that we identify this lady to ensure her well-being.”
Anyone with information about the woman should contact police on 101.