Sex assault squad detectives are investigating an alleged sexual assault in Bandy Creek, Esperance on Monday.

Police said about 5.30pm a woman aged in her 20s was fishing near Castletown Beach when she was approached by an unknown man.

It will be alleged the man threatened the victim before sexually assaulting her.

Police said following the incident the man left the area and the victim made her way to a nearby house, where police were contacted.

The man is described as being aged in his 40s, with fair skin and long dark hair.

He was wearing a purple face covering and was described as having a husky voice.

Sex assault squad detectives from Perth are helping Esperance detectives with the investigation.

Investigators are urging anyone who was in the Castletown Beach or Bandy Creek area between 4.30pm and 6pm on Monday, and who saw anything suspicious, to come forward.

Anyone with information, CCTV, mobile phone vision or dash-cam footage from the area that may help investigators is urged to contact Crime Stoppers online via www.crimestopperswa.com.au or by calling 1800 333 000.

Reports to Crime Stoppers can be made anonymously.