Charlotte Bevan, 30, can be seen on the Bristol Maternity Hospital's closed-circuit television system leaving with four-day-old Zarnee Teanna. She lacked an overcoat and may have been wearing hospital slippers, the BBC reported.
"Charlotte may appear confused and worried, and her baby is inappropriately wrapped for the cold weather," a spokesman for Avon and Somerset Police told the BBC.
"We are concerned for both Charlotte's welfare and that of her baby, and are urging Charlotte to let us know that she and her baby are all right."
The Guardian newspaper reported on its website that Bevan had been suffering from depression and schizophrenia, according to her boyfriend.
Pascal Malbrouck also told the newspaper that Bevan was sleep-deprived.
Friends joined police in the search overnight, as temperatures slipped below freezing in the Bristol area.