The incident took place outside The Swan Inn, in Gospel End Street, at about 10.20pm.
Police say they believe the stabbing followed a a dispute involving a group of men at the entrance to the pub.
The victim, in his 60s, was taken to hospital for an injury to his abdomen which is not believed to be life-threatening.
A spokesperson for West Midlands Police said: "We're in the early stages of the investigation but it is understood that there was a dispute involving a group of men at the entrance to the pub.
"Officers are reviewing CCTV footage as we seek to trace whoever is responsible.
"Anyone with information can contact us via live chat at west-midlands.police.uk, call 101, or contact Crimestoppers anonymously on 0800 555 111, quoting crime number 20/451384/21"
A police cordon remained in place yesterday.
Following the incident, local residents voiced their concerns for safety in the area.
One Sedgley resident, who did not want to be named, said: "I have lived local to Sedgley all of my life and it used to be a lovely little place, but I don't feel safe here anymore.
"The pubs have only been open for a couple of weeks and the trouble has already started, I just don't know what this town is coming to."
One local business owner in Sedgley added: "It's getting worse here, but it is the same everywhere really.
"I wouldn't like to come up here at night to the pubs.
"In the daytime it is absolutely fine, there is never any trouble, it just seems to be at night when people have been drinking.
"I would like to see more police on the streets, particularly in the evenings, that would help."
The Swan Inn has declined to comment at this time.
West Midlands Police have said no arrests have been made in connection to the incident but enquiries are ongoing.