It happened just after 9 p.m. at the Dollar General in the 400 block of Broadway.
Mt. Vernon Police Chief Chris Mendenall says a white man, believed to be in his 50s, with a thin build entered the store with a handgun and demanded money.
No one was injured.
Police continue to investigate. Anyone with information about the robbery is asked to call the Mt. Vernon Police Department at 618-242-2727.