Graffiti website streetartnews said Banksy had showed up with a maintenance van and covered all the sides with tarpaulin before creating the piece "at the break of dawn".
The website said: “Quite a strong statement against the recent privacy issues we experienced this past year with the NSA and such," the website said.
Spying: the three figures appear to be listening in to telephone conversations (Picture: PA)
"Banksy didn't pick Cheltenham randomly as the city is home of the GCHQ (Government Communications Headquarters).
"While not officially confirmed by his website, this piece has all the Banksy characteristics in narrative, style and execution."
The Bristol street artist is known for making political statements through his artwork.
Last month his artwork of a young girl in Syria was beamed on Nelson’s Column as part of a global protest against the situation in Syria.