Authorities said the incident happened shortly after doors opened at 10 p.m. Thursday. The woman allegedly blasted pepper spray into the crowd when she realized that she wasn't going to get to an Xbox because there were too many people in front of her.
After spraying the crowd, the woman was able to get to an Xbox, purchase it and leave the store. Police are still looking for the woman.
At least 10 to 15 people were treated for minor injuries.
"Their faces are red. This one guy was coming up to my wife going, 'Call an ambulance, call an ambulance,'" said witness John Lopez. "It was just hectic. It looked like a little riot in there."
According to a Wal-Mart employee who did not want to be identified, three children were among those treated.
"(The kids) didn't know what to do, they didn't know how to stop the burning. Some of them were crying," he said.
People in the crowd first thought the pepper spray came from a male security guard, but police later confirmed that it was a female customer.
The suspect was described as a 5-foot-4, 140-pound Hispanic woman with black hair and brown eyes. She appeared to be 36 to 38 years old.
Police say they are investigating the incident and will be looking at surveillance tapes.
Wal-Mart remained open despite the incident. In a statement, the company said it was an isolated incident.