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There are actually 2 boxes that you need to search when you escape from prison:
Belongings is all of the gear you had on you minus anything that you've stolen. All of your stolen merchandise is kept in the Evidence chest.
Since you only get the one lockpick, usually you'll have to also pickpocket the chest keys off a guard. The easiest thing to do (after you've got the achievement) is to just do your time and then go back into the prison and break into the Evidence chest
as the rest of your belongings are automatically returned after you've completed your sentence.
Does the evidence chest in the jails contain your stolen merchandise after you've paid a fine rather than accepting incarceration? I know that when you pay your fine for a crime, the guards will still search you for stolen goods.