一、一般说“在下午”的时候，要用in the afternoon

He's arriving in the afternoon.

他将于下午到达。

《柯林斯英汉双解大词典》

但是要说具体某一天的下午，要用on the afternoon，后面通常会有of

例句1：I was at home on the afternoon of last Monday.

上个星期一的下午我在家。

例句2：Where were you on the afternoon of May 21?

5月21日下午你在哪里？

《牛津词典》

二、morning和evening也是一样的用法

1.in the morning：在早上

I can't get out of the habit of waking at six in the morning.

我早上六点钟醒的习惯改不了。

《牛津词典》

2.on the morning of：在具体某一天的早上

We got the news on the morning of the wedding.

我们在举行婚礼的那天上午得到这个消息。

《牛津词典》

3.in the evening：在晚上

I usually watch TV in the evening.

我通常晚上看电视。

4.on the evening of：在具体某一天的晚上

On the evening of my 14th birthday,I was given this book.

14岁生日的那天晚上我收到了那本书。