Wally was a hunter.
Wally is first shown sitting inside a diner with Mick Davies. Mick is trying to convince him to work with the British Men of Letters, promising him a world without monsters, without demons, and where no one has to die. Mick offers him access to their libraries, money and weapons. In exchange, Wally is to do as he is told when he is told.
Wally however, is clearly uninterested. He asks to see Mick's hands and finds they are soft, which makes him ask if Mick has ever hunted anything. Mick says he's more tactical, into long-term strategy. The answer does not satisfy Wally, who explains that he does not wish to take orders from anyone, especially from some "limey paper pusher".
Wally's disinterest drives him to leave the diner, but not before he leaves some money since Mick had bought him a burger. Mick later remarks that American hunters are "difficult".
Wally is seen again, this time with Mary Winchester, whom Mick has successfully recruited. Mary brings Wally to take part in an assignment: retrieve The Colt from the demon Ramiel. Mary and Wally meet Sam, Dean and Castiel at another diner where Mary discusses a hunt she wants help with, but keeps many facts to herself. Wally joins the group in infiltrating Ramiel's house. Upon finding out about this, Crowley sends two demons after them, and one of them manages to kill Wally. Dean avenges him shortly after.
Mary later tells her sons that she burned Wally's body and told his wife that he'd died, something that haunts her every night.