Police were called to an incident at the Mappin and Webb store within the Perthshire hotel at 11:00 on Tuesday.
A number of watches were stolen. No-one was injured in the incident.
Officers said they were particularly keen to speak to four men who were seen in the area and are believed to have been driving a dark-coloured Audi which was abandoned near Auchterarder.
Police taped off the entrance to the hotel and armed police were seen outside Gleneagles railway station.
Det Ch Insp Andy Patrick said: "This is a shocking but thankfully rare incident which we are taking very seriously.
"Our inquiries so far have established that the individuals involved were believed to be armed but thankfully nobody has been injured, although they are understandably shaken.
"We are appealing for anyone who was in the area at the time to come forward and speak to us. In particular, we are looking to speak to anyone who saw a dark-coloured Audi with four men in the area around the time of the incident."
He added: "Officers remain at the scene this afternoon to conduct inquiries, including forensic examination, and we would like to reassure the public that this appears to be a targeted incident.
"Staff and residents were evacuated for a short time but have since been able to return into the hotel."
A spokeswoman for the hotel told BBC Scotland: "We are working closely with Police Scotland in relation to a robbery at the hotel this morning.
"We can confirm no guests or members of staff were harmed as a result of the incident.
"As this is an ongoing police investigation, we are unable to provide further information at this stage."
Mappin & Webb has two stores within the hotel which sell a "selection of premium fine jewellery".
The stores are "home to the world's most prestigious Swiss watch brands including Rolex", according to the jeweller's website.
Armed robbers have targeted a jewellery boutique inside the five-star Gleneagles Hotel and golf resort.