Allegheny County Police are seeking information in at about 5:30 p.m. Monday.
The incident was reported on Lake Shore Drive in the vicinity of J.C. Stone Field in North Park, police said.
"The report is of a young female jogging in the area when an unknown assailant put a bag over her head and carried her a short distance into a wooded area where she was able to get free and flee," a statement from Allegheny County Police said.
Anyone with information or if anyone was in the area at the time of the incident is encouraged to contact Allegheny County Police at (412) 473-1251 or 911.
"The public is advised that there is no need to be alarmed, but as always should be aware of your surroundings and be assured there are police in and around the parks on a 24-hour basis, according to the statement.
