US authorities are searching for a missing Australian Army soldier who was last seen in freezing conditions on New Year’s Eve.

New York State police say the soldier, Captain Paul McKay, suffers from post-traumatic stress disorder. Forest rangers and a special response team are conducting the search.

Missing Canberra man Paul McKay was last seen in this supplied photograph at an Albany bus terminal.

Captain McKay, an Afghanistan veteran, emailed his father from a Best Western motel in Saranac Lake on December 30 to say he was leaving him all his possessions. "In this email...he shared some financial information and some other information that would lead us to believe he didn’t plan on going back,’’ Saranac Lake Police Chief Bruce Nason said.

The 31-year-old Canberra man was last seen walking on railway tracks near Saranac Lake the next day, wearing winter weather clothing and carrying a large backpack.