You can use "At 2 o’clock in the afternoon", but saying "at 14 o’clock" doesn't work as well. If you are in an environment (e.g. a hospital/police/army) where they use 24-hour time then you could say "at 1400 (fourteen hundred) hours". But, using 24-hour time in spoken English is not very common in day-to-day conversation.

‘At 2 o’clock in the afternoon’ or 'at 14 p.m.'.

Hiya Heidi At 2 o’clock in the afternoon - There's no other way to say it so absolutely spot on! We don't say at 14 o’clock, which as you know is the 24 hour format 14.00