Lincolnshire Police received the report of an ATM attack at McColls in Louth Road, Holton le Clay, just before 2.30am.
It is understood that the JCB (pictured) was used to smash through the side of the shop,
Police officers attended the scene and, following a pursuit, the ATM was recovered from the back of a van and four men from the Derbyshire area have been arrested.
The four men - two aged 33, one aged 32 and another aged 38 - remain in custody and will be questioned in due course.
A scene guard remains in place at McColls while police continue with their investigations.
A police spokesman said: “We would like to thank members of the public for reporting this incident promptly to us.
“It provided us with vital information leading to the apprehension of the suspects.”
The owner of McColls did not wish to comment when approached by the Leader this morning.
If you have any information about this incident, call Lincolnshire Police on 101, quoting incident number 28 of October 11.