This ain't the double play Yasiel Puig needed -- while he and the Dodgers were losing Game 7 of the World Series, a burglar hit his house and made off with jewelry ... TMZ Sports has learned.

The burglar busted a window in Puig's San Fernando Valley home to get in, which set off an alarm ... according to our law enforcement sources. We're told the suspect quickly grabbed some jewelry and bolted -- but the whole caper was caught on surveillance video.

Unfortunately, Puig's a veteran of this kinda crap. We broke the the story ... back in March burglars hit him for about $500k worthy of jewelry.