We show that the wreath Macdonald polynomials for $\mathbb{Z}/\ell\mathbb{Z}\wrΣ_n$, when naturally viewed as elements in the vertex representation of the quantum toroidal algebra $U_{\mathfrak{q},\mathfrak{d}}(\ddot{\mathfrak{sl}}_\ell)$, diagonalize its horizontal Heisenberg subalgebra. Our proof makes heavy use of shuffle algebra methods, and we also obtain a new proof of existence of wreath Macdonald polynomials.