Paige Feltham, 13, and Keyona Fraser, 15, are believed to have travelled together by train to London, said police.
A police spokesman said Paige went missing from her Worthing home yesterday afternoon (November 21).
She is described as white, 5ft 4ins tall and of slim build, with long, straight brown hair. She was last seen wearing a green parka jacket with a fur-trimmed hood, black leggings and black trainers.
The spokesman said Keyona was last seen at her home in Pulborough at 5.30pm on Tuesday (November 20).
She is described as black, 5ft 6ins tall and with braided hair. She was last seen wearing a PVC puffa-style jacket with a fur hood, black leggings with white panels down the sides and dark-coloured trainers.
Police believe the teenagers could still be in the London area.
Anybody with information on Paige or Keyona can report online or call 101 quoting 899 of 21/11. In an emergency or if the person is in danger call 999.