It may even be worse than stealing from a Yid; see Hoshen Mishpat 348:2; Kitzur S”A 182:1 and the Ben Ish Hai on Ki Tetze.
The Tosefta, Bava Kamma 10, says that if a yid cheats or steals from a goy and is murdered, his death provides no kappara because of the hillul HaShem and damage the yid caused.