Though it isn't clear how much the world's largest retailer would cough up for Jet, a personal familiar with the talks told Dow Jones that the website could be worth $3 billion, the organization reported Wednesday.
Wal-Mart declined to comment on the report; Jet.com did not immediately respond to CNBC's inquiry.
Wal-Mart shares edged up slightly, while Amazon declined following the news.
Wal-Mart CEO Doug McMillon said at the company's shareholder meeting in June that it would soon become more aggressive in growing its online business. Earlier this year, the company sold Yihaodian, its Chinese online marketplace, to JD.com. It likewise acquired a 5 percent stake in JD.
The retailer also completed the rollout of Walmart Pay earlier this summer, which allows shoppers to check out using their smartphones. Meanwhile, it's beefing up the amount of products sold on its website, and is looking to take on Amazon with its answer to Prime, called ShippingPass. That subscription service offers fewer perks than Amazon Prime, but costs just $49 a year. That compares with $99 annually for Prime.
All in, Wal-Mart plans to invest $1.1 billion into e-commerce this year.