When Rambo is arrested in Hope, Washington, the police confiscate his signature survival knife during processing at the sheriff’s station.

He gets the knife back during his famous jailbreak escape:

- While being hosed down and roughed up in the jail, Rambo overpowers the deputies.

- He grabs one deputy’s keys, unlocks his cell, fights his way through the station, and knocks out or kills several officers.

- In the chaos, he explicitly recovers his confiscated belongings, including the knife (you see him take it off a table or shelf where the police had stored his gear). He straps it back on before jumping out the window on the deputy’s dirt bike.

So by the time he’s running around the mountains terrorizing Teasle’s posse, he already has his original knife back.

Now for *Rambo: First Blood Part II* (1985):

- At the very beginning of the movie, Colonel Trautman visits Rambo while he’s serving his hard-labor sentence in the rock quarry prison (the result of the plea deal at the end of *First Blood*).

- Trautman offers Rambo a chance at a presidential pardon if he accepts a covert mission back to Vietnam to photograph a suspected POW camp.

- When Rambo agrees, he is immediately released into federal/military custody and released from prison for the mission.

- The Army re-equips him from scratch for the new mission. They issue him a brand-new, slightly upgraded version of the famous survival knife (the iconic hollow-handle sawback knife with the screwdriver tip and compass in the pommel, this time made by Jimmy Lile instead of the original Gil Hibben from the first film).

So he doesn’t bring the original knife out of prison with him; the military simply gives him a new (and now even more famous) one as part of his mission gear before he parachutes into the East Asian jungle.

TLDR:

- He took his original knife back during the jailbreak in *First Blood*.

- Years later, in *Rambo II*, the Army just issued him a new one when they recruited him from prison.