The 4x4 was travelling on a track near the River Nairn in the Highlands when the incident happened on Sunday.
A post on the Nairn Coastguard Facebook page said it was thought the weapon involved was a .22 air rifle.
No-one was injured.
A Maritime and Coastguard Agency spokeswoman said: “During a routine exercise the Nairn Coastguard Rescue Team response vehicle was damaged by what appears to be a shot fired from an air rifle or similar.
“Police Scotland are investigating.”