A man who went missing while fossicking for opals near the mining town of Coober Pedy has died after falling down a shaft, South Australian police say.

A friend raised the alarm after losing sight of the 41-year-old man while they were fossicking around disused mines yesterday afternoon.

A search involving police and emergency services was organised and the man's body was found late last night.

Crews retrieved the body today and police will prepare a report for the coroner.