Police say the Southend, Sask., teens, two girls and three boys between the ages of 13 and 17, were reported missing on Thursday.
The teens are believed to be in the Reindeer Lake area. Their names haven't been released.
Local residents are helping with the search, including the Civil Aviation Search and Rescue.
RCMP said the search for the teens is still active, but the lake is large and the search has been hampered by poor weather.
Temperatures dipped well below freezing in the Southend area on Saturday with winds gusting to 40 km/h.
Southend is about 500 kilometres northeast of Saskatoon at the southern tip of Reindeer Lake, the ninth largest lake in Canada.