The officer was collecting cash from a Scotmid shop in Old Edinburgh Road, Uddingston, South Lanarkshire, at about 8:50am today when a masked man approached him with a gun.
The weapon was not fired and no-one was injured but the security officer was left badly shaken, police said.
The thief made off with a case of cash in a black Vauxhall Astra that headed towards Laburnum Road.
Ten minutes after the robbery, police were called to a report of a black Astra on fire in Market Place in Uddingston. The vehicle has been removed and is being examined by a forensic team.
The suspect is white, is of a heavy build and he was wearing a black ski mask, black trousers and a black anorak.
Detective Inspector John Lamb said: “Officers have been checking CCTV and carrying out door-to-door inquiries in the local area, and I would appeal to anyone who saw anything suspicious around the times of both of these incidents this morning to come forward as their information may be vital to this inquiry.
“In particular, I would like to trace the occupants of a white car and a white transit van that were both seen near Market Place around the time of the fire this morning. If anyone has information on these vehicles please contact police.
“Around 9am this morning the area would have been busy with people dropping off children at the primary school in Laburnum Road, and I would ask any parents who noticed anything out of the ordinary, or have any details on the vehicles mentioned, to contact us.”
Anyone with information can contact police on 101, or anonymously via Crimestoppers on 0800 555 111.