Tasmania's director of prisons has launched an internal investigation after a prisoner in jail for armed robbery escaped yesterday morning.

Marcus Denis Mayne escaped from Hobart's Risdon Prison through a roller door and another exit that is usually locked.

He was caught about two hours later on a yacht in the River Derwent, after two hours on the run and allegedly taking a 16-year-old boy hostage temporarily.

He was charged with offences including escape, aggravated burglary, stealing and destroying property and will appear in court today.

Labor MP Lara Giddings said she wanted to know what happened.

"That's going to be an issue that the Attorney-General is going to have to look into as the Minister for Prisons," she said.

"To work out how it was that such a risky offender was in minimum security."

Tasmania's director of prisons, Brian Edwards, issued a statement promising the incident would be investigated.

Marcus Denis Mayne allegedly escaped from Hobart's Risdon Prison through a roller door and another exit that is usually locked. ( ABC News )

"An internal investigation into the circumstances surrounding today's events is underway," he said yesterday.

"The investigation will also look at the TPS [Tasmania Prison Service] response to the incident and identify any changes required to avoid a recurrence.

"At this stage, the reason for the escape is unknown.

"Mayne applied for parole in July 2015 but was refused, as the Parole Board felt that he needed more preparation prior to release."

Latest event in a turbulent period for the prison

Community and Public Sector Union state secretary Tom Lynch said the situation was less than desirable.

"Clearly that is an embarrassing situation," he said.

"That is a high-security prison and people shouldn't be able to walk out of it," he said.

The investigation will cover the police response and identify any changes that needed to be made to stop it happening again.

The escape is the latest in a turbulent period for the prison, after a hostage situation last month and several deaths in custody earlier in the year.

It is not the first time there has been a breakout via a prison roller door.

Two inmates forced open a roller door at in the same section of the prison three years ago and were on the run for five days.

Tom Lynch said he was hoping for some changes at the prison.

"Events still continue to be reported, things occur that are not acceptable to the community, and I think the minister will need to take that on board," he said.