Thieves took a bag filled with diamonds, bracelets and brooches from Micheline Connery's room at a smart residential hotel while she was at dinner.
Mrs Connery arrived at the River Club in Manhattan on Wednesday night. She discovered the jewels were missing the following morning.
Police say there was no sign of forced entry.
The jewellery included a Cartier watch, Bulgari diamonds and earrings.
Some of the items were gifts from Mr Connery, his publicist Nancy Seltzer said.
The actor, best known for his role as Agent 007 in the James Bond film series, was out of the country at the time.
Ms Seltzer said police were called to the apartment which was dusted for fingerprints.
"Thankfully, Mrs Connery was at dinner when the burglary took place," she added.
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