Schapiro will leave Dec. 14 after a tumultuous tenure in which she helped lead the government's response to the 2008 financial crisis. She also took over after the agency failed to detect the Bernard Madoff Ponzi scheme.
"The SEC is stronger and our financial system is safer and better able to serve the American people - thanks in large part to Mary's hard work," Mr. Obama said in a statement.
Walter, who is a Democrat, can serve through the end of next year without Senate approval because she has already been confirmed to the commission. She was appointed to the SEC in 2008 by President George W. Bush.
"I'm confident that Elisse's years of experience will serve her well in her new position, and I'm grateful she has agreed to help lead the agency," Mr. Obama said.
The president will need to nominate a permanent successor before Walter's term ends. Mary John Miller, a top Treasury Department official, has been among those mentioned as a potential candidate.
Walter will take over at a critical time for the agency, which is finalizing new rules crafted in response to the 2008 financial crisis.
Lawmakers and experts say Schapiro made the SEC more efficient, and they note that she fought for increased funding needed to enforce new rules enacted after the crisis. But critics argued that Schapiro failed to act aggressively to charge leading individuals at the nation's largest banks who may have contributed to the crisis. Consumer advocates questioned Schapiro's appointment because she had led FINRA.
The Associated Press contributed to this report.