A maximum security prisoner has escaped from Goulburn Correctional Centre after tying bed sheets together to climb over a jail wall.

Stephen Jamieson, 28, had been in segregation after being identified as a suspect over the discovery of a man-made hole in the floor which was found in the prison earlier this month.

Jamieson was last seen at about 12:50pm Tuesday and was wearing prison greens at that time.

He had been in custody since 2013 and is serving 12 years in prison for armed robbery.

NSW Corrective Services Commissioner Peter Severin said the prisoner escaped after he cut through a metal gate at the back of a small secure exercise yard that is attached to each segregation cell.

"He was able to get out of that exercise yard and then he had a range of bed sheets that he tied together and was able to swing them over the wall to then effect his escape by scaling that wall," he said.

"It appears that he also had a pillow [that was] put around his waist and enabled him to make good his escape over the razor wire."

Commissioner Severin said Jamieson was placed into segregation after a 60 centimetre man-made hole was discovered inside a workshop at the prison.

Jamieson had also attempted to escape from another prison on a previous occasion.

Authorities found a pillow inmate Stephen Jamieson tied around his waist during his escape from Goulburn prison. ( ABC News )

"He was clearly somebody that was in maximum security for all the right reasons and furthermore he was actually segregated in the maximum security section," he said.

The cavity, with a 40 centimetre by 18 centimetre wide entrance, was found under a cabinet during a search of the furniture workshop at the jail in the southern tablelands earlier this month.

The Department of Corrective Services said the cavity was more than 100 metres away from the outside wall of the prison.

An investigation was launched into whether inmates had been trying to dig a tunnel after the hole was found.

The Mayor of Goulburn said at the time there was no risk to public safety and the maximum security facility at the prison was the "strongest and most secure prison facility in NSW if not Australia".

Commissioner Severin said he could assure the community that the correctional system was safe.

"[The security] does provide community safety; last year we had the lowest ever recorded rate of escapes, they were all from open custody," he said.

Jamieson tied bed sheets together and swung the makeshift rope over a wall to make his escape. ( ABC News: Mark Moore )

"It is a very serious matter, it is one that we will not only carefully investigate but certainly conduct a quite intensive security review which will involve some interstate assistance that I'm going to seek this afternoon from my fellow commissioners."

Commissioner Severin announced an independent security review would start in addition to the investigation into today's escape.

He emphasised that the escape did not occur at the High Risk Management Correctional Centre, known as 'Supermax', at the same Goulburn facility.

Officers said anyone who sees Jamieson should contact triple-0 immediately.

Police search for Stephen Jamieson who escaped from the maximum security section of Goulburn Correctional Centre. ( ABC News )

Police said Jamieson is described as being of Caucasian appearance, 177cm tall, of thin build with a fair complexion and brown eyes.

Local police inspector John Sheehan said up to 20 officers, Polair and the dog squad had been scouring the district.

"We've located some clothing that he did have a short distance from the jail ...so at the moment we are just continuing to do patrols around the area," he said.

"And we're receiving numerous reports of sightings and basically [we] ensure we follow up all those and investigate those fully, but so far none of them have resulted in us locating him."

Local farmer Kevin Whitcher said police came through his property and alerted him to the incident but he was able to carry on with his day.

"I've been there all day, I thought there's not much I can offer the escapee," he told the ABC.

"I suppose he might've been able to pressure me into giving the car keys, but life goes on doesn't it?"

Mr Whitcher said the news of the escape was "almost like days of old".

He said about 20 years ago the jail was low security and prisoners occasionally escaped.

"The escapees would come down across the river ... walk up the creek, underneath the railways with the big storm water [drains] and then just leisurely make their way up to the servo and hitchhike out of town," he said.