Ethan Gordon, the schoolboy whose disappearance in Western Sydney sparked a major search has said he's sorry for the worry he caused.

The 17-year-old and his parents spoke exclusively to 7News to thank police, the state emergency service and his school.

His mum Lorraine says he's quiet, polite, friendly. Not the sort of teenager to just fall off the radar.

"You can't breathe. You just ache from top to bottom and you can't think straight," she told 7News.

Ethan said he was surprised to learn of the city-wide search for him after he left The King's School on Wednesday.

He said he was overwhelmed by the support: "Yeah it's great. I love everyone at this school and I love my mates, they're fantastic. I'm happy to be back."

He'd been missing for 24 hours and was found near his grandparents' Penrith home.

His family's relief is palpable: "I haven't stopped holding him since."

"You see so much bad stuff on the news and you always fear the worst that he not going to come home."

The family is especially grateful to police and the SES.

According to Lorraine: "The amount of effort that went into looking for our boy was just amazing. The school was fantastic."

The Gordon family agreed to speak with 7News on the undertaking they don't ask Ethan why he disappeared. While the teenager is deeply embarrassed by the reaction it caused, the family says it's a personal matter.