Two priceless crowns and an orb belonging to a 17th Century king and queen were taken at around midday on Tuesday in Strängnäs, near Stockholm.
Witnesses said they saw two men running from the cathedral, which was open to the public and hosting a lunch fair.
They were seen motoring off into Lake Malaren, and have not been seen since.
Police have launched a huge search operation, but currently have no suspects.
“It’s 1-0 to them right now,” police spokesperson Thomas Agnevik told Swedish media. “It is not possible to put an economic value on this, it is invaluable items of national interest.”
The royal jewels are adorned with gold, precious stones and pearls, and come from the 1611 funeral regalia of Sweden’s Charles IX and Kristina the Elder.
A witness, who is getting married in the Strängnäs Cathedral next week, told local news channel Aftonbladet he contacted the police.
“I knew immediately they were burglars because of the way they were behaving,” Tom Rowell said. “It’s despicable that people would steal from a holy building and a historical building.”
Mr Agnevik said that the crown jewels would have been kept in locked and alarmed glass displays that the thieves would have had to break into.
No one was hurt during the burglary but church staff were shaken, local media reported.