The 36-year-old has not been seen since he left the Dakota Hotel in South Queensferry, Edinburgh, at 1am on Wednesday, according to reports.
The five-piece band is due to play alongside Father John Misty, Leeds-based Hookworms, Edwyn Collins and others at a gig at Halifax's Piece Hall on Saturday, May 26.
A statement put out on the band's Twitter feed today reads: "We are worried about Scott, who has been missing for a little while now. He may be in a fragile state and may not be making the best decisions for himself right now. Please could Scott or anyone with any information on his whereabouts please contact Police Scotland (101)."
His brother and band mate Grant also posted an appeal on his Instagram page.
It reads: "Has anyone seen my brother/bandmate/best friend?
"He’s in a very fragile state and has been missing since last night and we’re all incredibly worried. He was in a hotel in South Queensferry and hasn’t been seen or heard from since 1am.
"Please repost and share and get in touch if you have any info. His phone is with the police. If somehow you are reading this Scott then can you just let someone know you’re safe please? We love you very much x"
The musician, originally from Selkirk in the Scottish Borders but currently based in Glasgow, is now believed to be in Edinburgh, according to the BBC.