Natalie Jensen, who is 21 years old, was reported missing just before 6pm on Wednesday 30 June 2021 as she was not home as expected and had missed a number of appointments.
She is heavily pregnant and described as about five feet tall with long reddish-brown hair.
It is believed that she may be together with a 29-year-old man and a white American bulldog.
Inspector Matt Chutter, of Dorset Police, said: “There is information that Natalie could be either in the Somerset area or in Southampton, but we have been unable to confirm this.
“Officers have made a number of enquiries since she was reported missing, but have so far been unable to find her.
“We believe Natalie is in a vulnerable position and we need to find her to ensure she is safe and well.
“I am hoping that somebody may have seen Natalie over the last few days and may be able to help us establish where she may have gone.”