Two young brothers who went missing from their home in the Auckland suburb of Blockhouse Bay overnight were found with a relative who had not called anyone, say police.

The nine-year-old and four-year-old were last seen about 7pm yesterday walking in Blockhouse Bay dressed in their pyjamas.

Police and the children's family spent several hours overnight looking for them but no one knew where they were until they were found at a relative's house in the nearby suburb of Avondale this morning.

Police said they would be talking to the relative where the children were found.

Senior Sergeant Ross Endacott-Davies said the children were found after police inquiries.

Asked why the relative had not called the parents or police, he said: "With some extended families child care is shared. There are all sorts of different scenarios.

"It is not always just a straight-forward situation."

He said the incident sent a message for people in similar situations to call someone.