Assistant park manager Stacie Hall said the man's family called park officials on Wednesday to say they hadn't heard from him since New Year's Eve. The man's car was parked at a train station at the park that night and has remained there.
Crews searched until after dark on Wednesday that resumed shortly before dawn Thursday in single-digit temperatures.
Authorities haven't released the man's name because they were still trying to notify other relatives that he is missing.
Searchers include Fayette County deputy sheriff's deputies, park rangers, maintenance workers and volunteer firefighters.
The park covers more than 20,000 acres and includes whitewater rapids on the Youghiogheny River.