Nusrat Jahan was reported missing from her home in the Seaton area of Aberdeen at about 10.30pm on Thursday.
The 34-year-old told a friend at around 9.30pm that she planned on heading to the beach area.
A search mission involving the Police Scotland helicopter got under way when she did not return.
The latest footage officers have of her is when she was in the city’s Marischal College at 4pm on Thursday.
Local area commander chief inspector Kevin Wallace said: “This is the last confirmed sighting we have of Nusrat before she was reported missing last night and it may well be that she is wearing the same clothing.
“I would appeal to anyone with information about her whereabouts to get in touch as soon as possible.
“The (beach) area would have become increasingly busy as the match at Pittodrie ended with fans leaving the stadium, so I would ask anyone who remembers seeing a woman matching Nusrat’s description to let us know.
“It could be crucial as we piece together her movements since last night.”
About 20,000 people were at the stadium as Aberdeen faced Apollon Limassol in a Europa League qualifying round.
Jahan is described as being about 5ft 3ins and slim.
She may be wearing flat black slip-on shoes, black leggings or skinny jeans, a light grey patterned top, black rimmed glasses and using a white handbag with a black band across the top.
Mr Wallace added: “We can’t rule out Nusrat being elsewhere in the city, so would appeal to any member of the public to get in touch if they think they could assist.”
Anyone with information is asked to contact police on 101.