An Australian soldier has gone missing while on leave in the United States.

Captain Paul McKay was last seen in Saranac Lake, New York State, on New Year’s Eve.

“Captain McKay was reported missing to US authorities by family members,” Defence said in a statement on Saturday.

He arrived in the US on December 29 and local police believe he was headed to Lake Placid in the state’s north, the ABC reports.

Defence said support is being provided to Captain McKay’s family and US and Australian agencies are working to locate him.

No further information was available.

“Due to privacy legislation, Defence will not provide any further personal or service details relating to Captain McKay,” Defence said.