Police now have information that three children missing in Adelaide's south since Wednesday night are with their father and say the children's mother might also be with them.

Siblings Ethan Lawson, 12, Jayden Lawson, 10, and six-year-old Sienna Dodd were dropped off at Bice Oval at Christies Beach for football training on Wednesday evening and ran off from the oval, police said.

Superintendent Ian Parrott said the children's welfare was of concern.

"Police are repeating their appeal for information about the whereabouts of the children," he said.

"This situation is not a stranger incident and there is no danger to the community."

Police have made a search of the property of the father, Dylan Lawson, 36.

They have urged him and the children's mother Chantelle to make contact with authorities, Superintendent Parrott said.

Police believe the missing children may be with their parents Dylan and Chantelle Lawson. ( Supplied: SA Police )

"Our primary concern, as I've said, is the welfare of these children — we are appealing to members of the public. We're also appealing to Dylan and Chantelle and the family members to help us resolve this incident in totality and to make sure the kids are OK," he said.

"We need them to contact police."

He said the children had been in alternative care before they were dropped off at football training.

Superintendent Parrott said a police incident room had been established for the investigation.

Uniformed and plain clothes officers and members of the police tactical group, STAR group and missing persons section are now involved.

"Police, including STAR group officers, have been deployed in the area today to conduct further enquiries and searches," Superintendent Parrott said.