The team of thieves started the tunnel in wasteland next to the Tesco. The group tunneled into the store, grabbed the cash and left through the tunnel.
The tunnel stretched for more than 15 metres and authorities believe the team has been working for months.
The group had to negotiate pipes and electricity lines as well as the building's foundations to reach the steel bottom of the store.
Police say this was well planned and would have taken weeks of labour.
"These people had obviously spent a long time plotting this crime and I doubt they would have been able to keep their plans secret for all that time, without telling others about their elaborate scheme," Detective Sergeant Mark Toker said.
"The offenders must have spent long periods of time in the area over the last few months, which people may have noticed."
"You may have seen people acting suspiciously on Friday night, possibly covered in soil," he said.
It's not yet clear how much was taken, but it's believed to be around $150,000 (GBP 80,000).
Experts believe whoever built the tunnel knew exactly what they were doing.
"They must be very professional in order to do this," said.
"There was plenty of experience in order to do this. They must have a pneumatic drill and a generator to operate it and wheelbarrows, shovels and plenty of buckets to do the job."
This is the second time thieves have targeted an ATM by going underground in Greater Manchester.
Two years ago, thieves created a tunnel under a video store and stole almost $11,000 (GBP 6,000).
Police are investigating if the same gang is responsible for the most recent attack.
