Sandwell Police are appealing for information following the incident at Kings Hill Park, off Old Park Road, on Monday, June 6, at about 8pm.
The men ran off into the trees and the girl was not injured but was "extremely frightened", police say.
Police have issued descriptions of the offenders and are urging anyone with information to get in touch.
Appealing on social media, Sandwell Police said: "Were you at Kings Hill Park, off Old Park Road in #Wednesbury, three weeks ago today, on Monday 6 June, at around 8pm?
"We're hoping you can help with our enquiries after a teenage girl was threatened with a knife by two masked men.
"They ran off into the trees and thankfully the girl wasn't injured but she was extremely frightened.
"The two men were both described as about 5ft 8in tall, of slim build and wearing black tracksuits, one with a white T-shirt, the other one had on a grey T-shirt.
"If you were in the park or around the area at the time - it was the Monday evening after the long bank holiday weekend - and saw anything you think may help, please let us know.
"You can contact us via live chat at west-midlands.police.uk, or call 101, quoting 20/532269/22."
Alternatively, contact Crimestoppers anonymously on 0800 555111 or at crimestoppers-uk.org