A big shipment of wine from South Australia seems to have 'evaporated' while being transported east.

Police are investigating after 60,000 bottles of wine from 12 McLaren Vale wineries failed to arrive at a depot in New South Wales.

The trailers arrived with no stock on board.

The missing shipment has been valued at $500,000.

Wettenhalls Transport Group, the company carrying the wine shipment, went into administration late last month.