At some time on Tuesday night, the bronze statue, which stands at the entrance to the town of Makhado, was painted in the colours of the old South African flag - orange, white and blue.
The king's head is now orange, his chest is white and his lower body is blue.
"The statue is meant to be under 24-hour guard so we're questioning the guard who was on duty," said captain Mashudu Malelo of Vhembe police on Wednesday.
He said the padlock on the gate to the statue was broken and that the spotlight that shone on the statue had been shot at. No gun cartridge was found, though.
"But anyone can see that a bullet made the hole in the spotlight," said Malelo.
Police have opened a case of malicious damage to property.
Vandalism a sign of "backwardness"
The statue, which cost R250 000, was unveiled on September 8.
Limpopo Premier Sello Moloto expressed shock at the vandalism.
His spokesperson, Mogale Nchabeleng, said the act was "barbaric" and a sign of "backwardness" that was "definitely not in the best interest of reconciliation and nation building".
Limpopo's sports, arts and culture spokesperson Mbangiseni Masia said the erection of statues was the government's way of preserving the country's heritage for future generations.
Limpopo has already changed the name of the town of Louis Trichardt to Makhado in honour of the late king.
The town's new name was recently under judicial consideration, however, after a group called the Chairperson's Association challenged the name change in the Pretoria high court.
The group, which represented various business associations as well as the Tswana and Shangana people, argued that the name change would be costly and divisive.
Statue of another hero to be unveiled Pretoria High Court judge, Judge Francis Legodi, ruled in favour of the name change, however.
The Association was expected to meet on Wednesday evening to decide whether to appeal against the high court decision.
Although many people prefer to call the king by the name Makhado, he was actually known as King Tshilwavhusiku Makhado Ramabulana.
He lead the VhaVenda people in withstanding attacks by encroaching Boers until he died in 1897.
The Boers established Louis Trichardt after defeating the VhaVenda, but the Anglo-Boer War, which took place between 1899 and 1902, prevented full-scale Boer occupation as troops were withdrawn to fight the British.
A R250 000 statue of another hero, King Nghunghunyani, will be unveiled in Giyani in December. The MaShangana king also fought against the Boers.