Taylor Casey, 41, was last seen on Wednesday in the area of Paradise Island, which connects to New Providence, known as Nassau, according to the Royal Bahamas Police Force.
The circumstances surrounding her disappearance are unknown.
Police did not immediately provide a specific timeline.
This comes as the U.S. Department of State issued a warning for American travelers headed to the Bahamas due to violent crime that has impacted the local population.
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The State Department also suggested that U.S. travelers steer clear of activities like boat tours with commercial recreational watercraft because they are "not consistently regulated."