The 10-year-old case involved nearly 1.6 million current and former female employees who claimed they were passed over for promotions and were paid less than their male counterparts.
Individuals are still free to pursue legal action.
Wal-Mart said it is pleased with the decision. The case could have cost Wal-Mart billions.
"The court today unanimously rejected class certification and, as the majority made clear, the plaintiffs' claims were worlds away from showing a companywide discriminatory pay and promotion policy," the company said in a statement.
Two of the named plaintiffs, Christine Kwapnoski and Betty Dukes, attended the argument. Kwapnoski is an assistant manager at a Sam's Club in Concord, Calif. Dukes is a greeter at the Walmart in Pittsburg, Calif.
Dukes and Kwapnoski said they were disappointed in the ruling but vowed to push ahead with their claims.
The Associated Press contributed to this report.