The boy, aged just 11 or 12, was seen getting on the bus in a “distressed state” wearing slippers and a dressing gown.
Police were called at around 10.15pm on Saturday after the child boarded the bus in Stapleford, Notts, heading towards Derby.
Cops said he told the bus driver he had been staying with friends in the area and was heading back towards Chaddesden in Derby.
But he was then seen to get off the bus near the Old Rock pub and start walking back towards Nottingham.
Police are carrying out house-to-house inquiries, and are treating the investigation as a search for a missing person.
The boy is said to be white, with dark hair.
He was last seen wearing a grey dressing gown, black pyjama bottoms, black slippers and white socks.
Inspector Paul Hennessy from Nottinghamshire Police said: “This is a particularly unusual case which gives us real cause for concern for the boy’s safety, due to the time of night, the unusual circumstances, his distressed state and the fact he is not believed to have access to suitable clothing, money, or a mobile phone to contact his friends and family.
“I need to be absolutely clear that the boy is not in any trouble whatsoever and that our priority is to establish the circumstances surrounding this report, to identify and locate the boy and to ensure that he is safe and well.”
Anyone with information on the case is asked to call police on 101, quoting incident 926 of August 10.