Officers said the raider gained entry to the yard in Marine Place in Buckie before starting up the machine.
But once behind the wheel the robber drove the dumper straight into a fence before attempting to drive it up a bank without success before abandoning the machine.
The thief then made a failed attempt to start an excavator on the site before fleeing.
Constable Chris MacKinnon said: “We are appealing for anyone who was in the area of Marine Place over the weekend and may have noticed any suspicious activity around the construction yard to please get in touch.
“We would particularly urge anyone with private CCTV or dash-cam footage which could be of significance to come forward.”