Police were called to reports of a theft at Tesco in Station Road, Sandy, at around 7.25am on Wednesday morning.
Members of staff chased after the suspect but were unable to stop him.
Officers attended and carried out an area search.
A man was then seen trying to climb over the fence of Sandye Place Middle School at around 7.30am and made off when challenged by staff.
Officers have searched the area but were unable to locate him. Enquiries are ongoing.
If anyone has any information they should contact the police on 101.