They did not identify the killer who was also hospitalised.
At around 8.50pm (1950 GMT) "the cantonal police headquarters was told that an individual was shooting at residents of the village of Daillon/Conthey," police said in a statement on Thursday.
They were told that "several injured people are lying on the ground."
Valais police accompanied by special units "immediately intervened and neutralised the suspect," the statement added.
The police came under threat and had to open fire, wounding the suspect, cantonal police spokesman Jean-Marie Bornet told AFP.
None of the police were hurt.
The public prosecutor of Valais went to the scene and an inquiry was opened.