We fully classify automatic sequences $a$ over a finite alphabet $Ω$ with the property that each word over $Ω$ appears is $a$ along an arithmetic progression. Using the terminology introduced by Avgustinovich, Fon-Der-Flaass and Frid, these are the automatic sequences with the maximal possible arithmetical subword complexity. More generally, we obtain an asymptotic formula for arithmetical (and even polynomial) subword complexity of a given automatic sequence $a$.