In footage released to the public, two men and a woman can be seen entering the aisle where the fireworks are on display just before the blaze starts.
As the fire takes hold, employees can be seen franticly trying to pull more fireworks off shelves in an attempt to stop the fire from spreading.
Customers fled the scene in their droves, apparently mistaking the noise of the exploding fireworks for gunfire.
"A lot of people thought they were being shot at," Ardell Deliz of the Phoenix Fire Department told ABC News.
"This could have been deadly, Walmart did a great job of evacuating. We treated everyone for smoke inhalation at the scene."
Some staff had to be treated for respiratory issues in the wake of the fire that caused extensive damage to the store.
Police are investigating the incident and the suspects remain at large.