With just a few items of baby clothing and a small amount of cash on them, Jayden Lavender, 14, and Jenifer Morrison, 15, were captured on CCTV footage leaving Nepean Hospital in Kingswood with their baby daughter, Aria, about 12.30am on Thursday.

They left the hospital together on foot, and were believed to be in the company of an unknown man wearing an Everlast jumper.

Police had serious concerns about the welfare of all three children and launched an urgent appeal on Thursday.

At about 4.15pm, the trio were found safe and well on the roadside in Willmot, about 12 kilometres from the hospital.

"Police are currently speaking to the teenagers and Ambulance Officers are assessing the infant as a precaution," a statement from NSW Police said.

Jayden's mother told reporters that the young parents were afraid the baby would be taken away from them.

"They don't want to be apart from their baby, they're good parents," she said.

Earlier on Thursday, Detective Chief Inspector Grant Healy said poor quality CCTV footage showed the teenagers leaving the hospital, with their baby deliberately concealed.

He said hospital staff contacted police as soon as it was noticed they had left the maternity ward. He was unable to say why the young parents may have taken their baby.

"We'd love to be able to speak to the parents to make sure they're alright as well and understand what's going through their heads so we can get the right support around them," he said.

Their families also appeared to be in the dark, posting messages during the day pleading for the teens to make contact.

"Jen can you please contact someone worried about you and bubba," the baby's aunt, Rach Harrison, posted online.

Three hours after they went missing, Jayden's mother posted: "My life is always so sad if something good happens something bad follows".

She had earlier shared photos of Aria on Facebook, calling her "my pride and joy".

In one of many photos of the new baby posted by family members, a man in an Everlast jumper can be seen in the background.

However, on Thursday evening, police were yet to identify the man seen leaving the hospital.

Detective Chief Inspector Healy said the teenagers were not in trouble, but hospital staff had wanted to see both the newborn and the mother.

"For Jenifer and Jayden, the two parents, you're not in trouble, we'd really appreciate if you could go to the hospital so we can check out and see if you're alright and just make sure everything is fine with you. The doctors do still need to see your baby and make sure it's progressing nicely," he said.