Police are investigating the theft of $1.5 million worth of cigarettes from a freight company in Sydney's west.

Officers say four pallets of cigarettes were stolen from the company's holding yard in Wetherill Park early on Saturday morning.

It is the second incident in two weeks, after $600,000 worth of cigarettes were stolen on January 13.

Detectives have reviewed security footage from Saturday, which shows three men breaking into the premises around 1:00am (AEDT), before using a forklift to put the pallets into a waiting truck.

The truck was later found burnt out on Eddie Road at Minchinbury.

Police believe the robbery is linked to the incident on January 13, in which three pallets of cigarettes were stolen from the same holding yard.

Police say the incidents are linked, and are urging anyone with information to come forward.