Police received a report of a break-in at a property in Broad Street around 10.50pm on Monday April 6.
An investigation is ongoing, and no arrests have been made at this time.
Officials with the Royal Air Forces Association (RAFA) charity confirmed their building had been burgled on Monday night.
It appears nothing was stolen during the burglary.
The RAFA charity and its Banbury branch is run for ex RAF service men and women, and their guests to come and relax, play crib, darts and other social activities.
The RAFA charity has around 74,000 members and more than 350 branches all across the world.
Its branches provide an opportunity for members to meet socially on a monthly basis, a place where they can provide welfare advice and assistance locally.
If anyone has information about what happened, they are asked to contact police online, quoting reference number 43200106925.
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