US police have released footage of the moment they found a three-year-old girl reported missing after the car she was in was stolen from a supermarket car park.

Officers in Albuquerque, New Mexico, launched a hunt for Caraline Leon-Alcocar after a thief jumped into her mother's car and drove away with her still inside.

This happened at around 8.30pm local time on Saturday, and police probably feared the worst when the vehicle was later found abandoned with no sign of Caraline.

However, she was discovered at around 1am in an empty car park. 

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Officer Chris Poccia's body cam video shows him getting out of his car and picking Caraline up.

She can be heard telling him a number of times that she is cold.

Speaking afterwards, he admitted it was an emotional ordeal:

"I was using my spotlight and I saw a ball of purple in the middle of the parking lot. I thought that weird. I drove into the parking lot and as I drew closer I found it was a kiddo. I'll be honest. On my way home I started crying."

Caraline was unharmed, and police have now turned their attentions to trying to catch the thief.