Banksy created the painting, Girl with Balloon, in 2006.
The piece, Girl With Balloon, is one of Banksy's most well known images.
Art enthusiasts and collectors came together at Sotheby's London on Friday night (local time) for the auction house's Contemporary Art Evening Sale event.
The 12-year-old painting had just been sold for 1,042,000 pounds ($1.37 million) - matching Banksy's all-time record.
The caption written below, imitating an auctioneer, read: "going, going, gone". "We have not experienced a situation where a painting has spontaneously shredded, possibly at the request of the artist". As Sotheby's noted, the incident "certainly marks the first time in auction history that a work of art automatically shredded itself after coming under the hammer".
"We are busy figuring out what this means in an auction context", Branczik said.
"The auction result will only propel this further and given the media attention this stunt has received, the lucky buyer would see a great return on the £1.02M they paid last night".
It is not known who the successful bidder is but Sotheby's said they are talking to them and that they were "surprised" by the weird stunt.
You may find Banksy's antics less exciting now that he's probably destined to the fate of an elderly provocateur, and on your on end, you'd like to see yourself out of the room.
Banksy is a Bristol-born artist whose true identity - despite rampant speculation - has never been officially revealed.