Yes. When I was almost 18 I had left to do a babysitting job, my Dad and younger siblings were at home, Mom was in the hospital having just given birth. My youngest sister was 2 years, 8 months and saw me leave in a green car (the woman I was sitting for picked me up.)
When I arrived home at 12:30 a.m. one of my little brothers heard me and came to me as he had wet the bed and needed dry pj's and underwear. I said, "Let's get ______ and the two of you can go to bed with me." I looked in her bed and she wasn't there. I searched the house and she wasn't anywhere, I asked my 2 teenage brothers who were up and they hadn't seen her, I woke my Dad and he said she was asleep in her bed. When I told him she wasn't he jumped out of bed and we thoroughly searched the house again and outside (we lived next to a huge open field that dropped off to a dangerous cliff) and when we didn't find her he called the police. They told him there was a little girl there and asked if we could come to see if it was her?
Yes, it was her, sound asleep on a cot mattress of the floor. A couple driving home from dinner and dancing had found her walking along the side of the road around 12:00 a.m., about 3/4 of a mile away from our home, she had stayed on the same street. They had asked her where she lived and all she would say was "blue car," which she thought was the color of the car I'd left in. The police had gone out to pick her up and driven her up and down our street and asked at each house if that was her home and she shook her head "no" at each one. One officer told my Dad (he knew him personally) that had he known she was his daughter he would have gone to the door, but she had vehemently shook her head and said "No, blue car!" when he asked if our home was where she lived.
Apparently she was upset that Mom was gone, and felt I had left her and set out to find me, SHE knew what she was doing!! I don't think my Dad slept for 6 months after that at night, and he would double check the locks on the doors and installed new ones high up.
Oh, and she did it a few months later in the daytime, and took our dog and the neighbor's dog with her, they'd been happily playing in the back yard when last seen before my Mom checked on clothes washing. She went the same direction on the same street and got about 1 1/4 mile away, the dogs warded off people who tried to help her, and the police were finally able to entice the three of them into a cruiser and they were brought home...after about 3.5 hours of worry.
And there was the time my 3 year old cousin walked to Tastee Freeze by himself at the age of 3, he crossed an extremely busy intersection at lunch time (and no one tried to stop him,) because he remembered his sisters taking him there for an ice cream cone.
Scary when it happens to you, and it does happen. Praise God the little girl in Maine if fine!