Gintautas Urbonas, 51, is currently serving a 12-year sentence at HMP Peterborough for offences including attempted rape, battery and sexual assault, according to Cambridgeshire Police.
The police have warned members of the public not to approach Urbonas, but to call them immediately with any information regarding his whereabouts.
Anyone who might he harbouring Urbonas could be prosecuted for doing so, police warned.
Police say anyone with information should call them on 999.
HMP Peterborough is operated by Sodexo, which also operates HMPs Northumberland, Forest Bank, Bronzefield, and Addiewell.
An HMP Peterborough spokesperson told Sky News: "A 51-year-old male prisoner has escaped from HMP Peterborough. We are supporting the police with their ongoing operation. We are investigating this incident."
Police have urged lorry drivers to be wary in case Urbonas attempts to hitch a ride with them.
The Cambridge News quoted Detective Chief Inspector Mick Birchall warning that the man may be travelling to a port and attempting to escape to Lithuania.
DCI Birchall said: "It is likely he has left the area, but he could still be in Peterborough.
"I would ask lorry drivers picking up hitch-hikers to be aware that this gentleman is at large and if they see anything suspicious to phone us.
"He is somebody we want to capture very soon so we can put him back behind bars where he needs to be."
The report says that Urbonas escaped on Friday afternoon.
The escape follows the publication of an inspectorate report which criticised safety standards at HMP Peterborough as "not sufficiently good".
HMP Peterborough is a Category B prison with a capacity of 840 prisoners, and the only facility in the UK which holds both men and women.