The woman was kidnapped late Tuesday near Koutiala, a city some 400 kilometres (250 miles) east of the capital.
The woman was kidnapped late Tuesday near Koutiala, a city some 400 kilometres (250 miles) east of the capital, Bamako, which is in the Sikasso region near the Burkina Faso border.
"The Malian army is in pursuit," a security source who asked not to be identified told AFP.
A local official said the kidnappers drove away in a vehicle owned by the nun's Franciscan order.
There was no immediate claim of responsibility for the kidnapping which follows the Christmas Eve capture of a French aid worker, Sophie Petronin, in the restive north of Mali, where jihadists have staged repeated attacks.
Last month, Al-Qaeda's affiliate in North Africa released a new proof-of-life video of Swiss missionary Beatrice Stockly, who has been held hostage by the group for more than a year.
The Al-Qaeda in the Islamic Maghreb (AQIM) video showed Stockly, who was captured in the north, saying she was in good health.
The north fell under the control of Tuareg-led rebels and jihadist groups linked to Al-Qaeda in 2012 who were largely ousted by a French-led military operation in January 2013.
But the implementation of a peace accord struck in 2015 has been piecemeal with insurgents still active across large parts of the region.
There have also been jihadist attacks in the south and centre of the vast west African nation.