Police Scotland say the theft took place at 6 pm on Tuesday.
A force spokesman said: “Entry was gained to the site by cutting the padlock on the gate, thereafter the caravan was attached to a light coloured estate vehicle by three persons and driver off.
“It was then observed to drive away from Moffat on the A701 towards the motorway.
“The caravan is a Swiss Challenger Sport 544 single axle caravan.”