Police are looking for a teenage couple that left Nepean Hospital in western Sydney with their baby overnight, before the newborn had been discharged.

Officers said CCTV footage shows 14-year-old Jayden Lavender and 15-year-old Jenifer Morrison leaving the hospital with their three-day-old baby, and a man, just after midnight.

Detective Inspector Grant Healy has urged the young parents to come forward.

"For Jenifer and Jayden, the two parents, you're not in trouble, we really just want to check that everything is fine with you ," he said.

"The doctors do still need to see your baby and make sure she's progressing nicely."

It is not clear who the man is, but police believe the teenagers know him.

The three people were captured on CCTV leaving Nepean Hospital overnight. ( Fairfax Media: Wolter Peeters )

Detective Inspector Healy said he did not know why the pair had left.

"We've spoken to their parents — they're giving us some information," he said.

"I think the families are in the same boat as us; they don't know where they are, and they're trying to help us find them."

Officers say they are worried about the baby girl because of the young age of her parents and because they left the hospital without telling staff.

Nepean Hospital said they were concerned for the welfare of the mother and her baby.

Detective Inspector Healy said the teenagers are from Mount Druitt, and have family on the Central Coast.

Jayden Lavendar, the baby's father, is described as being of Caucasian appearance with short brown hair, wearing a black and white hooded jumper.

Jenifer Morrison, the baby's mother, is also Caucasian in appearance with long brown hair, wearing a white hooded jumper, grey tracksuit pants and ugg boots.

The man who was seen on security vision leaving the hospital with the young couple and baby was wearing a black jumper with the logo 'Everlast' on it.