Police were alerted to the incident at the Co-op in Ackworth shortly after 2am when members of the public called to report what sounded like an explosion.
The sound was caused by burglars breaking into the store and forcing the cash machine from a wall inside.
Officers remained at the Barnsley Road this morning and the store was closed to customers.
A police spokesman said: "The incident happened at about 2am after suspects broke into the store and then forced an ATM from a wall inside.
"Suspects then made off from cash from the ATM and left the scene in a dark coloured BMW 1 Series."
Anyone who has information is asked to contact Wakefield CID on 101, referencing crime number 13180404589.
Information can also be shared online via the 101 live chat system or anonymously via the independent Crimestoppers charity on 0800 555 111.