Authorities are looking for Jessica Flores, 36, of South Chicago Heights, and Melina Cottrell, 26, of Gary.
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A Facebook Live video posted by one of the women indicate that they were together during the day and night before going missing.
Flores' family said they believe the mother of six is being held against her will.
Flores' family met with Gary police on Saturday and distributed flyers in hopes that someone would recognize her.
2 women missing from Gary since Monday
Mady Perez, Flores' sister, asked that whoever was holding her to please let her go.
"She has children. She has a family that loves her. There is a God and I have faith and just know that I'm not going to stop until I find you, Jessica, and we love you," Perez said Saturday.
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The vehicle that Flores was driving was found abandoned on Chicago's South Side with some of her belongings and fire damage.
However, the last time Flores' cellphone pinged was in Gary.
Gary police continued to search for the women on Saturday with grid searches and by sending up a drone in the area where they were last reported to be seen.
Northwest Indiana Times reports that "Cottrell light brown hair and brown eyes and is 5'8" tall and weighs 140lbs." The Times also reported that "Flores has brown brown hair and brown eyes and is 5'7" tall and weighs 150 lbs."
Anyone with information about the women are asked to call the Gary or South Chicago Heights police departments.