The Los Angeles Police Department's Devonshire Station said the woman came in Friday night.
Police Sgt. Jose Valle said the woman is currently not in custody but could face battery charges. Her identity was not released. Police said they planned to release more details Saturday.
The woman reportedly blasted pepper spray into the crowd while trying to beat other shoppers to an Xbox at about 10 p.m. Thursday shortly after doors opened for the sale. At least 10 to 15 were had to be treated for minor injuries.
According to a Wal-Mart employee who did not want to be identified, three children were among those treated.
Following the scuffle, the woman did get her hands on the popular game console. She purchased it and left the store before police could stop her.
Detectives are asking any witnesses who haven't already talked to police to call the LAPD's Devonshire Division.
The Associated Press contributed to this report.