Bruna Macedo and her team had set up near the Bandeiras Bridge in Sao Paulo on Saturday to report on rising water levels in the Tete River due to heavy rain.
Footage of the incident shows the suspect lurking in the background, looking over the bridge while Ms Macedo speaks to her colleague, Rafael Colombo, who is in the station’s studio.
After a few minutes of the broadcast, a man wearing a hooded jumper and a beanie hat can be seen approaching Macedo.
Macedo engages with the man while her colleague Mr Colombo continues to talk about the rising level of the river.
The broadcaster appears to attempt reasoning with the man before he pulls out a knife.
She then moves a few steps away before giving the man mobile phone.
CNN cameras then pan away from the incident to focus on the street while Macedo hands the alleged mugger a second phone.
He then flees the scene before the broadcast is ended.
Colombo told Brazilian newspaper Folha de São Paulo that Macedo was not injured and that she returned to the CNN centre after the incident.
“She had a terrible scare, but she is fine,” Colombo said.