Video report by ITV News Correspondent Nick Wallace
The loo - part of an art exhibition at Winston Churchill's birthplace - was taken in the early hours of Saturday, Thames Valley Police have confirmed.
Detective Inspector Jess Milne said: "The piece of art that has been stolen is a high value toilet made out of gold that was on display at the palace.
"The artwork has not been recovered at this time, but we are conducting a thorough investigation to find it and bring those responsible to justice."
A 66-year-old man has been arrested in connection with the incident.
The Palace has suffered significant damage and flooding following the burglary, because the loo, designed by Italian artist Maurizio Cattelan, had been plumbed in and was available for visitors to use.
The golden toilet had proved popular at the Guggenheim in New York, its former home, and has been described by critics as a pointed satire against the excesses of wealth.
Cattelan has previously said: "Whatever you eat, a two-hundred-dollar lunch or a two-dollar hot dog, the results are the same, toilet-wise."
More than 100,000 people made use of its "participatory nature" at the Fifth Avenue museum between 2016 and 2017, making available to the public "an extravagant luxury product seemingly intended for the 1%," said the Guggenheim website.
Last month, ahead of the toilet's installation, the Duke of Marlborough's half-brother, Edward Spencer-Churchill, said the lavatory wouldn't be "the easiest thing to nick".
Mr Spencer-Churchill told the Times: "Firstly, it's plumbed in and secondly, a potential thief will have no idea who last used the toilet or what they ate.
"So no, I don't plan to be guarding it."
Blenheim Palace said it is "saddened" but "relieved no-one was hurt" in a statement about the toilet theft.
"We knew there was huge interest in the Maurizio Cattelan contemporary art exhibition, with many set to come and enjoy the installations," it tweeted.
"It's therefore a great shame an item so precious has been taken, but we still have so many fascinating treasures in the Palace and the remaining items of the exhibition to share."