The woman, believed to be in her late teens, was shot in Hughes Avenue, Bradmore.
Residents in Hughes Avenue said that they heard a gunshot some time between 4pm and 5pm on Saturday.
The Midlands Air Ambulance landed nearby at Bantock Park and left at 5.45pm, while Hughes Avenue was sealed off by police.
WATCH: Police at the scene
Residents were warned to stay inside and some nearby neighbours were evacuated.
One man, who lives on the street and did not wish to be named, said: "We heard the gunshot and then came outside and there were police everywhere.
"The ambulance came and the road was blocked off.
"Some of the people who live nearby in the cordon have been evacuated, and we have been told to lock our doors and stay inside."
Police remained at the scene into the evening, with specialist search and forensic teams examining the nearby area.
Nobody has been arrested.
On Monday, armed police raided a house in Colerne Street, Ettingshall, after shots were fired in nearby Hall Park Street.
Then on Wednesday two men were taken to hospital after a shooting in Poplar Road, Bearwood. A spokesman for West Midlands Police: “We’re investigating after a woman was found with gunshot injuries in Hughes Avenue, Wolverhampton, just before 4.15pm today.
"The woman, believed to be in her late teens, has been taken to hospital with chest injuries.
“Officers are currently on the scene as we seek to establish the circumstances. Anyone with information can contact us via Live Chat, or by calling 101, and quoting log 2814 of 3 April.”