The attack did not claim any victims and the depot at Yimdi, 20 kilometres west of Ouagadougou, is now under the control of the army, a statement said.
"Security has been tightened," it said, adding: "The perpetrators of this attempt have been identified as elements from the RSP" unit, which in September seized power and briefly took Burkina Faso's interim president hostage.
The crack troops were loyal to Blaise Compaore, the west African country's long-serving leader who was ousted in a popular uprising 2014 after 27 years of iron-fisted rule.
An army source said Friday's 3:00 am attack on the weapons depot was staged by about 20 men.
"They made off with some weapons after tying up some of the men who were manning the depot. One soldier has been injured," the source added.
The raid follows a brazen jihadist attack on Friday in Ouagadougou where 30 people were killed after gunmen stormed a leading hotel and cafe in the city.