Police are investigating an alleged armed robbery which occured this morning between 5.25 and 5.45 am.

Leading senior constable Dana Cooper said at about 5.30 am a male entered the Caltex service station in Baillie Street, Horsham.

"He has produced a baseball bat and threatened the attendant."

"The man has taken off with cash and cigarettes," constable Cooper said.

"The business is closed until further notice.

"We are calling on any drivers who were driving in Baillie Street at that time, and witnessed a male in the vicinity of Baillie Street and Urquhart Street or may have any dash cam or mobile video, to contact police."

Anyone who may be able to help, or knows anything about the incident is asked to contact Detective Senior Constable Richardson at the Horsham Crime Investigation Unit on 03 53829200 or Crimestoppers on 1800 333 000 or www.crimstoppersvic.com.au