The range is located at 153rd and Campbell, about half a mile from the Harvey Police Department headquarters.
Police officials discovered the range's office was broken into and vandalized Monday morning.
Police agencies across the Chicago area as well as the federal Bureau of Alcohol, Tobacco Firearms and Explosives were alerted about the theft.
"We are aggressively pursuing this, and our number one concern and priority is to recover all these weapons," said Harvey spokesperson Sandra Alvarado.
Harvey police officials are asking Illinois State Police and the Cook County Sheriff's Office to assist with the investigation.