Police Scotland officers in the town are carrying out investigations into the theft of the vehicle in the early hours of Monday.
Some time between 2.30 am and 5 am a house in Marchfield Place was broken into and the keys for a VW Golf R stolen.
The car was then stolen from the property.
The VW Golf R is blue in colour and has the licence plate S31ONA.
DC Andrew Little at Dumfries said: “We are currently carrying out door-to-door enquiries in the area and are asking anyone who may have seen this car in or around the town to get in touch with us through 101.
“Because of the type of high performance high value car this is it may well be that the car was specifically targeted.”