An alarm was raised about 8.30pm on Australia Day.

The pair had set off from Mungabareena earlier in the day and became lost as they accidentally entered Wodonga Creek.

Both fell from their canoes at times and became fatigued and worried for their safety.

Albury and Border Rescue Squad captain Paul Marshall said the pair ended up on a small island in the creek as it was getting close to dark.

They were found about 10.30pm after SES volunteers heard the pair.

"Our boat crew picked them up and took them back to safety," he said.

"They thought they were still in NSW and didn't realise they were in Wodonga Creek.

"They got themselves totally lost and ended up in an area with fallen trees."

The pair didn't need medical treatment.

Mr Marshall said the general rule when travelling downstream on the Murray was to stick to the right.

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"We've had it before when people float down," he said.

"There are very few signs on the river but the suggestion is to stay on the right of the river if you're going downstream.

"People may not realise that Mungabareena to Noreuil might take 20 minutes by road, but it will take four hours on a canoe."

He said the pair had done the right thing by packing a phone - which was running low on battery - and life jackets.

The creek splits off from the Murray at two points from Mungabareena - about three kilometres downstream and near Diamond Park.

The incident followed a drowning on the river at Cobram earlier in the day after a St Kilda man went underwater and failed to surface.

The 35-year-old man's body was discovered by Victorian police divers in four metre deep water about 8.40pm, nearly eight hours after he went missing from Thompsons Beach.

The man had tried to swim across to NSW with three other men.

The trio made it to the bank, but the man went underwater and drowned before they could save him.

Albury Detective Acting Inspector David Forland said people needed to be aware of the dangers of water.

"I think an incident like this is a timely reminder for people to assess the risks associated with our waterways," he said.

"There are risks with swimming in the Murray River and you really need to be wary of those before you swim in those areas.

"Those risks aren't just specific to the Murray River.

"They are consistent with our other waterways, our lakes."