Authorities say 46-year-old Michael Todd Marshall was an inmate trustee in the kitchen area.
Around 6 p.m. he went outside and never came back.
Marshall is described as a white male, 5'11, brown short hair, hazel eyes and weighs around 160 pounds.
Officials say he was serving time for car theft.
Residents in Coffee County and the central New Brockton area are asked to make sure their cars are locked.
If you see Marshall or have information on his whereabouts you're asked to call your nearest law enforcement agency.