The 39-year-old, who spent the 2015/16 campaign with Latics, has been most recently been working as a youth coach at Dundee.
Mark Hudson, a former team-mate at Cardiff, tweeted on Thursday morning: "This isn’t what I want to be putting on here. Myself, friends and family are trying to get in contact with @KevMcnaughton."
McNaughton's last two tweets - "Let my kids know I’ll hover above I’ll always love them there to good for me xx" and "To the guy that stole my car, you stole a lot of my clothes in a tough time you stole my life it might mean nothing to you but it was all I had" - led to efforts to find him as quickly as possible.
Thankfully, Hudson then provided a happy update.
"Just heard, Kev has been found by the police safe and well," he tweeted. "I will update but please respect his friends and family. Thank you everyone."
McNaughton has since taken to social media to thank everyone who contributed to his safe return.
"Just a quick message to say thank you for the support over the last few days from everyone," he tweeted along with a blue heart and a thumbs up emoji. "Can’t really put into words how much it has meant."
Gary Caldwell, who signed McNaughton for Latics in the summer of 2016, had passed on his own best wishes, in the hope of good news.
"I just hope Kevin's okay," said Caldwell. "He's such a great guy, and so popular among his friends and family.
"So many players find it difficult to adapt after their careers end, and fingers crossed he gets in touch and given the help he needs."
Cardiff City, for whom he made the bulk of his career appearances, tweeted: "Show this man your love and support today. Super @KevMcnaughton #CityAsOne"
McNaughton also played for Aberdeen, Bolton, Inverness, Forfar and Kirriemuir, as well as winning four caps for Scotland.
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