The attack, at Warrenpoint station, happened in the early hours of Sunday.
Officers returning from patrol at about 03:30 GMT, found that a petrol bomb had been thrown over the perimeter wall into the yard of the station.
It had smashed, but failed to ignite, and caused minor damage to a car parked in the yard.
Insp Colin Patterson said: "We will be viewing footage from the station security cameras, but I would also like to appeal to anyone who noticed any suspicious activity in the vicinity of the police station or who has any information to contact officers in Warrenpoint on 101."
SDLP MP Margaret Ritchie said it was "a cowardly attack".
"This attack represents a very clear attempt by an extreme minority to return south Down to the past," she said.
A petrol bomb has been thrown at a police station in County Down.