Some time between 8 pm on Sunday and 6.30 am the following day, thieves attempted to start the bus by forcing a Yale house key into the ignition.
An attempt was also made to steal a red BMW car from the car park, but this too failed, leaving the car with a shattered driver's window.
The thieves did manage to move a third vehicle, a white Ford Sierra, but this was found abandoned with a smashed rear quarter window outside Tenby Surgery.
"We believe that the three incidents are obviously connected and would like to hear from anyone who may have been around the area at the time," said a police spokesman
Anyone with information is asked to contact Tenby police station on (01834) 842303.