Dozens of tents were set up in Wimbledon Park as hundreds of tennis fans waited to buy tickets to see Andy Murray on Centre Court.
Scotland Yard said a 30-year-old man was arrested and bailed over the alleged attack on the 34-year-old woman.
"Police are investigating an allegation of serious sexual assault in Wimbledon Park, off Church Road, in the early hours of Sunday July 7," a Scotland Yard spokesman said.
"A 30-year-old man has been arrested in connection with the incident and has been taken into custody at a south London police station.
He was bailed out until early September pending further enquiries," he said. The spokesman said the victim is being cared for by specialist teams. "Inquiries are ongoing to establish the circumstances of the incident," he added.