A passing motorist alerted police to the sighting at the side of the road near to Corrielaw Lodge just after 10 am on Sunday.
The only description of the man is that he was wearing a red jacket and jeans.
Police Scotland officers from the area supported by the Armed Response Vehicle and the Police Scotland helicopter attended and searched the surrounding area.
However, the man was not traced.
Police Scotland Operational Commander Superintendent Steven Lowther said: “In response to a call about a man carrying a shotgun on the Lockerbie to Corrie road we deployed appropriate resources to carry out a thorough search of the area.
“Local officers were supported by the Armed Response Vehicle and the police helicopter.
“We have no yet traced anyone and I would ask that anyone who may have been on this road around 10 am yesterday to get in touch if they can help identify him.”
Spt Lowther added: “I would also ask that the man himself comes forward and identifies himself to the police in order to provide an explanation as to the circumstances.
“Police Scotland at Lockerbie can be contacted through 101.”