Police and the fire service rushed to reports of a ram-raid at the Co-op store in Honley at around 2am this morning (Dec 18).
An Audi Q7 is believed to have rammed the ATM machine causing a fire.
The suspects made off empty handed, police said.
The vehicle has since been recovered.
Westgate is currently closed.
Enquiries are ongoing by Kirklees CID.
West Yorkshire Fire Service said eight pumps were required.
Six breathing apparatus, three hose reels and one large jet was also used.
Appliances attended from Holmfirth, Huddersfield, Meltham, Rastrick, Dewsbury, Ossett, Slaithwaite and Skelmanthorpe.
Anyone with any information is asked to contact police on 101 quoting crime reference 13190645439 or by using the online options at www.westyorkshire.police.uk/contactus
Information can also be passed anonymously to the independent charity Crimestoppers on 0800 555 111