MPs gave notice only this morning that they would visit the Derbyshire site.
The committee has investigated working practices at Shirebrook, and wanted to see if improvements had been made.
After a three hour tour, they gathered in a private room when they said a recording device was found.
The company had been expecting a visit from MPs, but was not told when the spot check would be.
One of the six, Anna Turley, MP for Redcar, said: "At the end of the meeting, we sat down to have a private conversation in a room by ourselves.
"A lady came in with some sandwiches, which was very kind. I saw her take too long to do it, she put it down and I saw her put a recording device on the floor.
"She left the room and I went over to pick up the device and there it was: a camera and a recording device for the conversation that we were having privately.
"I'm very disappointed."
A spokesman for Sports Direct declined to comment.
The committee chairman, Iain Wright said he spoke to Sports Direct's chief executive, Mike Ashley, on the phone after the MPs left the warehouse.
He said: "I don't think it was a particularly pleasant conversation for either of us.
"I want to work with Mike Ashley in a constructive manner. I don't think he wants to work with us at all any more."
The company, which has around 450 retail outlets, came under the spotlight after a BBC investigation uncovered a culture of unorthodox and illegal working practices at the warehouse.
Among issued raised were staff being kept on site at Shirebrook after their shifts for body searches, putting them below the legal minimum wage.
Concern about working conditions led to Sports Direct's founder Mike Ashley being called to appear in front of the Business and Skills Committee.
He admitted at the hearing that control of the company had slipped beyond him. Mr Ashley denied knowing about the day-to-day operation at Shirebrook.
Sports Direct has promised a number of changes since Mr Ashley's appearance at the committee.
Mr Ashley is thought to be on holiday and was not at Shirebrook during the visit.

Costa, 27, was sent off during his club's 2-0 FA Cup quarter-final defeat at Everton last week, ruling him out of Saturday's game with West Ham.
Chelsea boss Guus Hiddink said on Friday that Costa has a problem with a tendon in a hip muscle.
Spain are away to Italy in Udine on 24 March before facing Romania in Cluj three days later.
Athletic Bilbao forward Aritz Aduriz, 35, has replaced Costa as Vicente del Bosque's squad build-up to this summer's European Championships in France.
Aduriz has scored 17 goals in 28 La Liga games this season.
The Spain squad features six Premier League players.
Manchester United goalkeeper David de Gea and midfielder Juan Mata are included along with three Chelsea players - defender Cesar Azpilicueta, midfielder Cesc Fabregas and winger Pedro.
Manchester City midfielder David Silva is also named.
Goalkeepers: Iker Casillas (Porto), David de Gea (Manchester  United), Sergio Rico (Sevilla).
Defenders: Jordi Alba, Gerard Pique, Marc Bartra (all Barcelona), Sergio Ramos, Nacho (both Real Madrid), Cesar Azpilicueta (Chelsea), Juanfran (Atletico Madrid), Mario Gaspar (Villarreal).
Midfielders: Sergio Busquets, Sergi Roberto (both Barcelona), David Silva (Manchester City), Mikel San Jose (Athletic Bilbao), Koke (Atletico Madrid), Cesc Fabregas (Chelsea), Thiago Alcantara (Bayern Munich), Isco (Real Madrid), Juan Mata (Manchester United).
Forwards: Pedro Rodriguez (Chelsea), Alvaro Morata (Juventus), Aritz Aduriz (Athletic Bilbao), Paco Alcacer (Valencia), Nolito (Celta Vigo).
Six MPs from the Business and Skills Committee claim an attempt was made to record their private discussions after a surprise visit to Sports Direct's Shirebrook warehouse.
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Chelsea striker Diego Costa has been left out of Spain's squad for friendlies against Italy and Romania.