Victoria Police is investigating after a group of vandals beheaded a statue in Melbourne overnight.

The King George statue in Kings Domain in the CBD was found without a head and vandalised with red paint.

Police attended about 9am on Monday and an investigation is underway.

"Anyone with information is urged to contact Crime Stoppers on 1800 333 000 or submit a confidential report online," a police spokesperson said.

In a video posted online, a person wearing a high-vis jacket and head torch can be seen sawing off the head of the statue before it tumbles onto the ground.

A person wearing a dark-coloured hoodie is then seen spray-painting words over part of the statue, which was covered in red.

The attack coincides with Victoria's King's Birthday public holiday.

It follows the damage of two other monuments of colonial figures earlier this year.

A statue of Captain Cook in St Kilda and one of Queen Victoria near the CBD were both defaced on Australia Day.

The City of Melbourne said it was aware of the latest incident and was assessing next steps.