Mary Creagh condemned the attack and said staff were "distressed" by the discovery on Monday morning.
A Labour Party spokesperson said it happened at the Cheapside office just before midnight on Friday and was caught on CCTV.
The office, shared by the regional Labour Party, was empty at the time. West Yorkshire Police is investigating.
In a tweet, the MP said: "Staff distressed to discover brick through office window in Wakefield this morning.
"No excuse for violence & intimidation in our democracy."
A BBC survey found one in four Yorkshire MPs have received death threats or abuse in the past three years.
West Yorkshire Police recently offered advise and training to local MPs on how to step up their security after the death of the Batley and Spen Labour MP Jo Cox.
In July, a window was smashed at the Wallasey constituency office of Labour MP Angela Eagle.
A brick has been thrown at a window of a Wakefield Labour MP's constituency office.