It is thought the culprits selected the car as it parked at Hamilton Water Palace, in South Lanarkshire. They then waited to see which locker the driver used before breaking in while the victim was in the pool.
The owner – who was with his young son and daughter – returned to his locker in the council-run centre to find his wallet and keys missing and his car gone. The man, who asked not to be named, said: "I was there for a swim with my children.
"When I went back to the locker it had been forced open and my keys and wallet were gone.
"I couldn't believe it. And I was even more stunned when I realised the car was gone.
"It looks as if they were waiting for a suitable car to pull in to the car park. The staff were very helpful and sympathetic at the Water Palace, but I really think there needs to be a better system in place to stop this happening again.
"Clearly you can't have CCTV cameras in a changing area, but maybe there should be a better security option in place for car keys and valuables. Losing my car was bad enough, but they took my wallet and really left us high and dry. I've had to change the locks at my house too."
The victim says his car has not been recovered and added he had been told it was not the first time keys had been taken from a locker at the Water Palace.
A spokesman for South Lanarkshire Leisure and Culture said: "This was an isolated incident and one which we regret took place. We are working closely with the police to help with their enquiries."
A police spokeswoman said: "Police were notified of a theft of a Vauxhall Insignia from the Hamilton Water Palace between 7.20pm and 8.50pm on Thursday August 9.
"Anyone with any information is asked to contact 01698 483 300."