The raid happened in Haxey High Street, believed to be the Lincolnshire Co-op store, at about 2am this morning.
After using the heavy duty machinery to get the ATM the thieves fled the scene in two vehicles.
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In a statement, Humberside Police said: “We were called around 2am to a report that a JCB had knocked through a wall, and an ATM was stolen from inside the store on the High Street.
“Two other vehicles we seen driving away after the incident.
“One is believed to be a dark coloured pick-up truck, possibly a Nissan, which it’s believed had the ATM on the back. The other is thought to be a blue Audi.
“The JCB which had been stolen from the Nottinghamshire area was left at the scene.
“Officers attended quickly, and a search was made of the area with support from the police helicopter and neighbouring forces but the suspects weren’t found.
“Witnesses reported they saw 2 or possibly 3 men who were involved who we’re now looking for. Contact us with any information. Log 39 of 12/04/19 refers.”