The 28-year-old hockey star along with Henley's silver medallist rower Alex Patridge, 31, had their jackets and bronze medals taken from a London nightclub on Wednesday.
Police confirmed this morning a 31-year-old man has been arrested and released on bail pending further inquiries.
The Olympians had their jackets and medals stolen hours after meeting the Queen at a Buckingham Palace reception.
Later that evening they attended the Mahiki Nightclub in Mayfair where they left their jackets unattended.
Patridge's jacket has since been handed into a north London police station, but he is still missing his bronze medal, while Macleod's medal and jacket remain missing.
Macelod has been scouring eBay and made an appeal on Twitter in the hope of finding her medal, without any luck.
She wrote: "I'm not after punishment. If you picked up a Bronze Olympic medal that isn't yours pls just send anonymously back to GB hockey-Bisham Abbey."
Police are now studying CCTV footage from the nightclub and confirmed an arrest had been made.
Detective chief inspector James Harman from the Met Police said: "I would appeal to anyone who was in the venue in the early hours of Wednesday and saw anything suspicious to contact us - any information, no matter how insignificant it may seem, could prove vital to this investigation.
"My team have spoken to both Olympians who are understandably desperate to be reunited with the medals they have dedicated their careers to win.
"If you know who is responsible or where the medals are, please call us."
Anyone with information should call the police on 020 7321 7650 or Crimestoppers anonymously on 0800 555 111.