They were last seen in Pabradé, Lithuania, near the border of Belarus, which is a close ally of Russia.
A search is being conducted by the US Army, Lithuanian Armed Forces, Lithuanian law enforcement and others, according to a statement by the US Army Europe and Africa.
Lithuanian news outlet Delfi reported that the four were last seen late Tuesday afternoon, March 25, along with a tracked vehicle, typically indicative of tanks or armored personnel carriers.
The soldiers are from the 1st Brigade and 3rd Infantry Division.
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