Walton, 58, was the world's 11th richest person, with a US$18 billion (£9.84 billion) fortune. He was a member of the store group's board, but did not work for the retailer day to day.
He was flying a home-built aircraft that went down in the Grand Teton National Park last night. Nobody else was with him.
Walton was a Green Beret medic during the Vietnam war and won a Silver Star for saving comrades under fire. More recently, he was an active member of the Walton Family Foundation, playing a leading role in the allocation of its contributions to educational funding.
Wal-Mart chief executive Lee Scott said: 'More than anything else, I will remember John as special human being, who cared greatly about our company and our Wal-Mart associates. All of us who knew him will miss him greatly.'