The incident happened at the new hospital on Garroch Loaning overnight between Thursday and Friday.
Electric drills, a plunge saw, a jig-saw, two laser-levels and various hand tools, drill bits and batteries worth more than Â£3,000 were taken.
PC Emily Conroy said: "We are keen to hear from anyone who may have any information about this theft.
"Likewise we would want to hear from anyone who may be offered any similar tools for sale."
Thieves have made off with a haul of tools from a multi-million pound construction site in Dumfries.