That the Sankhya philosophy is very old, that much of its original features are lost to us, that even in the extant expositions like Sankhya Karika and Sankhya Sutra, the Sankhya doctrines are substantially modified--these are some of the points already discussed by several modern philosophers (see for example Krishnachandra Bhattacharya, Studies in Philosophy pg 127). Without entering into these, one may try to answer two questions. First, in spite of the doctrinal modifications sufferred by the Sankhya even in its available expositions, do we have in these any indication of its attitude towards the Veda and Vedic beliefs? Second, do we have any indication of the attitude to Sankhya in the Vedic literature itself? The first two couplets of the Sankhya Karika are as follows:

 

The main purpose of this philosophy is the removal of suffering in all forms. It is a fact no doubt that certain remedies for suffering are actually observed e.g. medicine offers remedy for physical suffering. Still, the philosophy is not useless because such 'observed remedies' cannot remove suffering totally and absolutely. Like the remedies actually observed, those mentioned in the Veda are incomplete, because they are impure, subject to decay, and marked by excesses. The opposite of this--i.e. the knowledge of the fundamentals of the Sankhya--is, therefore, the really desirable knowledge

Thus Sankhya-Karika opens with a definite attitude towards the Veda. And the salient points of this attitude are:
1. The remedies for suffering suggested by Veda are no better than those actually observed in ordinary life e.g. the remedies suggested by medical science.
2. The Vedic remedies ae marked by three defects. They are (a) impure, (b)temporary, and (c)marked by excess.
3. The knowledge that Sankhya stands for is the very opposite of Vedic remedies. There can be no doubt about this last point because the text clearly says tat-viparitah ('the opposite of that').

Dandekar in his article 'God in Indian Philosophy' (Annals of the Bhandarkar Oriental Research Institute 1968, pg 444) writes:

The origin of the Sankhya is to be traced to the pre-Vedic non-Aryan thought complex.
 

Garbe, writing in the Encylopaedia of Religon and Ethics vol. 11, observes:

The origin of the Sankhya system appears in the proper light only when we understand that in those regions of India which were little influenced by Brahmanism the first attempt had been made to solve the riddles of the world and of our existence merely by means of reason. For the Sankhya philosophy is, in its essence, not only atheistic but also inimical to the Veda. All appeal to sruti in the Sankhya texts lying before us are subsequent additions. We may altogether remove the Vedic elements grafted upon the system and it will not in the least be affected thereby. The Sankhya philosophy had been originally, and has remained up to the present day, in its real contents, un-Vedic and independent of the Brahmanical tradition.

For the presence of the Sankhya in the Veda, we may conveniently peruse the Svetesvatara Upanisad since the attitude is very evident in this work. The author of the Upanisad wants repeatedly--and with great zeal--to establish the superiority of his view of one god over the fundamentals of Sankhya. But the way he does it is very interesting. He does not reject outright the Sankhya views as the utterance of some deluded person. He offers instead full recognition to the importance of the doctrine of pradhana or primeval matter of Sankhya, insisting only on the denial of its autonomy, a fundamental tenet in Sankhya thought. Prakriti according to Svetesvatara is subservient to God; God rules over it and even produces it out of his own magical power. Svesvatara Upanisad i.10 reads:

What is perishable is the pradhana. What is immortal and imperishable is the soul. Over both the perishable and the soul, rules the one God. By meditating upon him, by uniting with him, and by reflecting on his being more and more there is complete cessation from the illusion of the world.

This illusion of the world, the only valid escape from which is to be sought in the union with god, is due to primeval matter no doubt. But god himself is its creator an he creates it perhaps to have some fun (lila):

Now one should know that that prakriti is illusion(maya) and that the mighty god is illusion-maker (mayin). This whole world is pervaded with beings that are parts of him.
The one god who covers himself, like a spider, with threads produced from pradhana according to his nature--may he grant us entrance in brahma.

Significantly, the Svetasvatara Upanisad questions neither the antiquity of Kapila (traditonally regarded as the founder of Sankhya), nor the great wisdom he possesses. It only declares that the wisdom he possesses is derived from god [whom Kapila denies!!!]; and that howsoever ancient he may be, god witnesses the sage being born!!!

The one, who rules over each and every single source as well as all forms and all sources--who at first filled with wisdom the sage Kapila as he was being born and witnessed him being born