Armed thieves have stolen a pet pug dog named Egg as his owner was walking him on a lead through Sydney Olympic Park in the city's west overnight, police say.

The dog's owner is said to be distraught after he told police three men held him at knife-point and stole his dog, as well as his wallet and backpack, about 10.30pm on Thursday.

Police said they held serious concerns for the animal's welfare, given the scorching conditions forecast across Sydney. Temperatures are expected to hit 44 degrees in Sydney's west on Friday and 45 degrees on Saturday.

"We just want [Egg] returned unharmed," the police spokesman said, urging the offenders to leave the dog at the nearest police station.