The incident is believed to have happened around 2.30am at antiques shop Mid-C-mod on the High Street.
A number of items of jewellery are believed to have been taken.
Detective Constable David McDougall from Livingston CID said: “I am appealing to anyone with information regarding this incident to come forward.
“If you were in or near to Linlithgow High Street in the early hours of Friday morning, and saw anything at all suspicious, please get in touch.
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“I would also ask any motorists with dash-cams who may have been driving through the area to check their footage in case they have captured anything which could be of significance.
“Anyone with information is asked to contact Livingston CID through 101, quoting incident number 1086 of Friday, 19 February. Alternatively you can call Crimestoppers anonymously on 0800 555 111.”