The victim, in his 20s, was taken to hospital with injuries which are not believed to be life-threatening after being shot on grassland in Pendeford on Thursday evening.
The incident happened on Wayside, next to the Shropshire Union Canal, at around 6.40pm.
It was the latest of at least four shootings in the West Midlands this week after two gun attacks in Birmingham and one in Handsworth.
Police have launched an investigation and are appealing for anyone with information to come forward.
A spokesman for West Midlands Police said: "We are investigating after a man was shot in the leg on Wayside, Pendeford, Wolverhampton at 6.40pm yesterday.
"A man in his 20s was taken to hospital to be treated for his injuries, which are not believed to be life-threatening or changing.
"Investigations are underway to establish the circumstances.
"We are appealing for anyone with information or dash cam footage to contact us on 101 or via Live Chat at west-midlands.police.uk, quoting crime reference number 20WV/122884H/20.
"Alternatively, contact Crimestoppers anonymously on 0800 555 111."
Two ambulances were called to the scene last night.
Jamie Arrowsmith, spokesman for West Midlands Ambulance Service, said: "We were called to reports of a gunshot incident on Reapers Walk, Pendeford, at 6.45pm last night.
"Two ambulances and a paramedic officer attended the scene. On arrival we discovered one patient, a man, who had suffered a gunshot wound. He was treated for injuries not believed to be serious before being taken to hospital for further assessment."