The incident happened around 12.10pm yesterday at Lidl in Nicholson Street, Edinburgh, when the security guard confronted the man.
Police said the man "struggled violently" with the guard and stabbed him a number of times with a syringe before running off.
He is aged between 20 and 30, white, around 5ft 7in, with a slim build and bushy hair. He was wearing a sandy-coloured long sleeve top, a blue body warmer with camouflaged pockets, dark blue jeans and white trainers.
Police are appealing for anyone who recognises the description or who witnessed the incident to contact them.
Detective Sergeant Andrew MacRae said: "On being challenged, the man began to struggle violently with a security guard, and this continued outside the store.
"During this incident the security guard was stabbed a number of times by what we believe was a used syringe. He then ran away north towards Edinburgh city centre.
"Anyone who may have witnessed the incident or has any information about the identity of the man is asked to contact Police Scotland on 101 or alternatively Crimestoppers on 0800 555 111."