Search on for man who fell into NSW lake

A search is underway for an 18-year-old man who went missing after he slipped into the Wentworth Falls Lake in the Blue Mountains.

The man fell into the water at about 5pm (AEST) on Wednesday and hasn't been seen since, police said.

"We've been told he was trying to retrieve something from the lake when he's slipped and fallen in," a NSW police spokeswoman said.

The police rescue squad, police divers and the Blue Mountains local area command are trying to find him.