They say she was last seen on Leroy Lane at 3:45 a.m.
She is described as white, standing at 5 feet, 7 inches tall. She weighs 140 pounds and her hair is dyed blue and black.
Authorities say Grove was last seen wearing a green shirt with black leggings, a purse or backpack and a piercing in her nose.
Police say Grove is believed to be suicidal and may be in need medical attention.
They say she may be with a male companion and may have been traveling to New York City.
Anyone with information on her location is asked to call the Dutchess County Sheriff’s Office at 845-486-3800, or to call 911 in an emergency.