Officers were called to the town's High Street and surrounding roads at around 3.30pm on Tuesday, where a group of people were throwing fireworks into a crowd.
A West Midlands Police officer was hit in the face with a firework and was taken to hospital to be treated. His injuries are not believed to be serious.
Police say there are not believed to be any other injuries to any members of the public.
CCTV enquiries are on-going to trace those involved and no arrests have been made.
Sergeant Mike Bradley, from the West Bromwich team, said: "This is a shocking incident and we take this kind of crime very seriously. We know how distressing this must have been for local businesses and the people of Sandwell.
“We are currently assessing CCTV to identify those involved and would encourage anyone who filmed the attack or who has information that could help, to get in touch as soon as possible.”
Anyone with information is urged to call West Midlands Police on 101, quoting incident number 20SW/256450T/20.
Alternatively, contact Crimestoppers anonymously on 0800 555111 or at crimestoppers-uk.org