An elderly woman remains lost in the NSW Blue Mountains as searchers concentrate on a valley where cries for help were heard.

Elizabeth O'Pray, 77, has been missing since Monday when she left her home at Medlow Bath.

Police say they were contacted about 6.45pm on Friday by a local resident who thought he heard a voice calling for help from the valley below Peckman's Plateau.

A search party including a police helicopter scoured the valley until midnight but returned empty-handed.

Police and SES resumed the search on Saturday but have so far been unable to find Ms O'Pray.

Rescuers spoke to her on her mobile on Tuesday night and she is believed to have told them she was okay but lost.

Ms O'Pray is known to walk along Grand Canyon Road in Medlow Bath and along a small track towards Katoomba.

AAP