The incident occurred at around 3:30am on Thursday morning at the Sainsbury’s Local on Shandwick Place in the West End.
It is understood that a dark-coloured Audi Q5 was used in the raid.
Pictures from the scene show extensive damage to the front of the store, with the ATM lying smashed up on the pavement.
Shandwick Place was closed until around 5am as a clear up got underway.
Edinburgh Trams were affected, with services from the airport temporarily terminating west of Shandwick Place.
An eyewitness passing by this morning on the No.3 bus said the store was “completely devastated” with police officers standing outside.
Police have now confirmed that they believe the same men targeted a store in Roslin on Wednesday morning and that the Audi used was stolen from a property in Fife just hours earlier.
In a statement, Detective Inspector Graham Grant said: “While the men were successful in gaining entry to the shop, they have been unable to steal the ATM and have left it in the street before making their escape.
“We are continuing our liaison with the store, but it appears nothing has been stolen at this time.
“This is the latest incident involving the stolen Audi from Kirkcaldy and officers from Fife, Midlothian and Edinburgh are all working together to identify those responsible and bring them to justice.
“If you have any information that can assist with these ongoing inquiries then please contact police immediately.”
Those with information in relation to this incident can contact the CIU via 101 and quote incident number 364 of the 17th May. Alternatively, an anonymous report can be made to the charity Crimestoppers on 0800 555 111.
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