Detectives are hunting the suspects who made off with the haul in an HGV lorry from the premises in Uddingston, near Glasgow.
The robbers broke into RT Keedwell Haulage Yard, in the town's Bellshill Road, sometime between midday on Saturday and 8.20am on Sunday.
The bottles of wine were on a pallet on a trailer.
Police said the crooks hooked up their own cab to the trailer and drove out the yard.
It is understood the pallets contained around 50,000 bottles of wine.
Detective Sergeant John Cameron, from Hamilton Police Station, is leading the investigation into the "high-value theft".
He has urged any witnesses, or anyone with information on the incident, to contact officers.
DS Cameron said: "I would urge anyone who may have witnessed anything suspicious on Saturday afternoon into Sunday morning either at, or near, the haulage yard to come forward, as they may have information that is vital to this inquiry."
Officers are carrying out inquiries in the local area and reviewing CCTV footage, in a bid to find out more about the robbery.
Anyone with any information about the crime is asked to contact Hamilton Police Station on 01698 483300.