A Sydney couple missing in the New South Wales Snowy Mountains has been found safe and well.

The 62-year-old woman and 65-year-old man became lost after leaving a Thredbo Village lodge to go walking in Kosciuszko National Park yesterday morning.

The woman contacted emergency services shortly before 3:00pm (AEST) to say they were lost.

High winds and freezing conditions hampered a search for the pair overnight and this morning.

Superintendent Rod Smith says the pair walked out themselves about 9:00am into the arms of an ambulance officer at Thredbo.

"We're quite surprised and it's remarkable they've been able walk out in such good condition considering the weather we had overnight which was just atrocious in that area," he said.

"We had rain, we had snow on the peaks, winds up to 100 kilometres an hour and the temperature got down with a wind chill factor of minus 16 degrees overnight. It doesn't get much worse than that really."

Superintendent Smith says they are yet to find out how the couple survived overnight and where they sheltered.

Autumn weather in Snowy Mountains 'can turn suddenly'

The search comes 12 months after Canadian student Prabhdeep Srawn went missing in the Snowy Mountains.

The 25-year-old was last seen at Charlotte Pass Village on May 13, 2013, before heading off on a bushwalk to Mt Kosciuszko and then onto another unknown mountain nearby.

Mr Srawn has not been seen or heard of since.

Superintendent Smith says people need to take extra care when hiking this time of year.

"Some people get themselves into strife perhaps because they head out into conditions with a blue sky and good weather and it can turn so suddenly this time of year," he said.

"People can become disoriented and the conditions are such that they get lost or something bad happens to them like a trip or a fall."