Emergency services were called to the beauty spot just before 1.15pm today( Sunday) after receiving reports that a man had got into difficulty in the water.
Around 16 vehicles arrived at the scene close to the beach area of the country park and specialist teams searched the water.
In a statement West Yorkshire Police said: "Emergency services attended and an initial search of the lake was carried out to no gain.
"Enquiries are continuing at the scene and an underwater search is now in progress."
The Yorkshire Air Ambulance was also called to the scene and left just before 2.30pm.
Wakefield Council has said the country park will now stay closed until Tuesday.
In a tweet it said: "Due to an ongoing police operation, #PugneysCountryPark is now temporarily closed.
"It is expected that it will remain closed until Tuesday (20 July).
"Thank you in advance for your support & understanding."