They say the stolen print was called Trolley Hunter and valued at $35,000 (£26,000). It shows three crouching hunters – with one pointing a spear at a clustering of shopping carts.
Police have released a video appearing to show the theft while the exhibition was still being set up.
The footage shows a man enter the empty gallery in an industrial building via an interior door shortly after 5am on Sunday. He goes through two large galleries which are in the middle of being set up before arriving at a wall hung with several framed prints.
Inside Banksy's Dismaland
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He then picks one up, holding it away from his body, and proceeds to walk through the two galleries and out the door where he came in.
Police say the suspect was wearing glasses, a green camouflage baseball hat, black jacket, blue jeans rolled at the cuff, and grey running shoes.
“We can confirm a piece of art went missing during setup of The Art of Banksy exhibition in Toronto. The incident was reported to the police who are currently investigating the disappearance,” Corey Ross, president of Starvox Exhibits, said.
“Due to the investigation, we will not be commenting further at this time.”
The exhibition is said to comprise of some $35m of the anonymous British street artist’s work.
A screenprint titled 'Trolley Hunters' by artist Banksy in Selfridges in London on 22 May 2008 (Rex)
(Rex Images)
But Banksy has publicly disowned both the show and its curator, Steve Lazarides, who is his former agent and worked with him for about a decade.
The Bristol artist’s work has long been subject to robberies but it is more common for theft to be carried out on his public works rather than in private exhibitions. In 2004, a giant satire of Rodin’s The Thinker was stolen in the middle of the day in central London.
The theft later became the subject of 2016 documentary The Banksy Job. Banksy offered the thieves a ransom of £2 to have it returned after they had requested £5,000. It was later stolen from the artist who stole it, who pointed the finger at Banksy himself.
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