The costume belongs to the Peterborough Players, a southern New Hampshire theater troupe. It was made for a production of "Alice's Adventure in Wonderland."
The New Hampshire Union Leader reports that the costume was last seen at a May 16 festival.
During the festival, the theater company breaks out many costumes and allows children to try them on. The costumes are then worn by actors in a parade.
But it appears someone got their hands on Humpty and walked away. Someone spotted the costumed thief walking with a person in a Cheshire Cat costume.
A teenager has since returned the cat costume, but all the king's horses and all the king's men cannot find Humpty Dumpty again.
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Information from: New Hampshire Union Leader, http://www.unionleader.com