The former Coronation Street actor, 37, and The Only Way Is Essex star, 38, are expecting their first child together, with Keegan heavily pregnant at the time of the break in.
The couple reportedly heard a window smash and an alarm go off and hid as police were alerted via a security system at just after 6am on Tuesday (18 February).
Essex Police reportedly arrived at the mansion within eight minutes but the group had already fled the scene “empty handed in a getaway car”.
Michelle Keegan and Mark Wright had to lock themselves in a bedroom of their £.5m home when four masked raiders broke in, reports say.
Wright and Keegan moved into the property just over two years ago, after purchasing the Essex mansion in 2019 for £1.3m.
