Stuart Hamilton, 37, was last seen by his friends and family two weeks ago.
Hamilton, from Gorgie in Edinburgh, was seen on CCTV at Haymarket Station on Sunday at 10:16. He then travelled by train to Manchester.
He was then spotted by a former colleague near Buckingham Palace in London on Tuesday at 13:30.
Mr Hamilton is white and of medium build. He is about 6ft 2in with short, dark, receding hair.
He was last seen wearing a blue top along with a black hooded top, blue jeans and white trainers.
He was also carrying a dark rucksack.
Police Scotland has been working with Greater Manchester Police and the Metropolitan Police Service.
Insp Jonathan Elliot, of Police Station, said:  "We are continuing our search for Stuart, which has now moved to London.
"Anyone who knows Stuart's whereabouts in either Edinburgh, Manchester or London, or recognises his description, is asked to contact police immediately."
A missing man last spotted on CCTV footage taken at an Edinburgh train station has now been seen in central London.