I have tried that in the recent past and not found that to be the case. There were no obvious wins in the things I get regularly, and quite a lot of things I get on Amazon just aren't available on Walmart, or if they are they are quite hard to find. For example, a recent purchase of "Fresh Roast" decaf whole bean coffee is over 10% more expensive on Walmart ($27.95 vs $24.25). A Milwaukee track saw blade is $58 vs $37.
As you say, not that Walmart is better than Amazon, but it would be nice to have some more competition to Amazon.