Necklaces and bracelets were taken in a raid on her trailer while shooting scenes for a new Sky sitcom Rosie Molloy Gives Up Everything.
The Sun reported that the 40-year-old actress was left “very upset” by the loss of the items, believed to be worth several thousand pounds.
The newspaper said she is thought to have been targeted by a gang of thieves nicknamed the Movie Takers — who have carried out raids on big-budget film and TV projects.
Police were called on Thursday night after Sheridan’s trailer was ransacked in South West London.
A filming insider told The Sun: “This was a very upsetting incident and everyone involved is shocked — but Sheridan is understandably very hurt.
“Fortunately, it wasn’t hugely expensive items, more day-to-day things, but she had left them in her trailer for safety while filming in character and came back to find the place had been turned over.
“It’s absolutely disgraceful that these people would do this.”
The source added that film crews have become increasingly suspicious after incidents on other sets — including a recent high-profile theft of pricey props on the set of Netflix blockbuster The Crown.
The insider said: “The film industry and TV is of course very well protected by security, and almost everyone who works within it tends to know each other so people feel very safe.
“It’s hard to get on to a set without being recognised by somebody immediately, so a few incidents in quick succession is very unusual.
“It could be that the same people are targeting sets, knowing there are high-value items.”
A Met Police spokesman said: “The offence happened at about 11.50pm on May 5.
“Items of jewellery were stolen from trailers in Surbiton.
“There have been no arrests, inquiries continue.”
Earlier this year, thousands of pounds of props for Netflix series The Crown were stolen from trailers parked up in Doncaster as production crews filmed scenes for the hit Royal drama at Wentworth Woodhouse.