Swift Current, Morse and Outlook RCMP officers attended the scene near the Palliser Regional Park shoreline at about 11 a.m.
RCMP says the 36-year-old man from Central Butte helped the children out of the water and into the boat, before disappearing.
The Ministry of Environment Conservation Officers, Lucky Lake Fire Services, Central Butte EMS and multiple civilian boats joined RCMP in the search Thursday.
Searches were done on both sides of the lake. The RCMP Underwater Recovery Team began searching for the man again on Friday and is asking the public to avoid the area.
At about 3 p.m. Thursday, Outlook RCMP responded to another call of a 22-year-old woman who had been swimming at Douglas Provincial Park and encountered difficulty in the water.
The woman had been removed from the water when officers arrived and was under the care of EMS and local first responders. She was then taken to a hospital in Regina by STARS.
RCMP says it does not have an update on her condition.