The woman and a man were pulled aside by store security who discovered that the woman was making methamphetamine in her purse, KMOX-TV, St. Louis, reported.
The store was evacuated out of fear for customers' safety.
St. Louis County Police Lt. Mark Cox said if the meth concoction leaked or spilled, fumes could have quickly dispersed throughout the store and sickened lots of people.
"The sergeant on the scene that helped to dismantle it said that it was cooking when they showed up, and had the potential to become flammable or blow up at any time," Cox said.
Cox said the use of so-called "shake-and-bake kits" is on the rise.
"It's kind of scary," said a customer who was evacuated from the store. "I'm just kind of astonished that somebody would come up here with a meth lab in their purse. And be dumb enough to shoplift on top of it."
The report did not say what happened to the woman, whose name was not released.