The victim, in his 20s, was set upon by a group of men believed to be armed with weapons on High Street, near to Asda, just after 1.20am.
He was taken to hospital but was pronounced dead just before 3am.
Today, a large part of the town centre has been sealed off while officers work at the scene.
It has blocked off a number of shops and pubs, including Poundland, the Entertainer and B&M.
Detective Inspector Laura Harrison, leading the investigation, said: “It’s very early in the investigation, but this appears to be a targeted and vicious attack involving a group of men carrying weapons.
“We’re supporting the victim’s family at this awful time, and are working hard to identify those responsible.
“We’ve already recovered CCTV and continue to work at the scene today.”
Police will be using section 60 powers across Walsall today to give officers the ability to stop and search people without the need for specific grounds.
Inspector Jon-Paul Kyffin, of Walsall Police, said: “We’ll have extra officers in Walsall town centre today to offer reassurance.
“I’d ask people planning on travelling into Walsall town centre to think about their journey today as the area around the scene on the High Street is closed while we investigate.”
Police are appealing for anyone with CCTV, dashcam or mobile phone footage showing what happened to get in touch, quoting log 225 of January 28.
Or contact officers via live chat at west-midlands.police.uk, or Crimestoppers anonymously on 0800 555 111.
Walsall Town Centre and Markets posted on Facebook this morning: "Market square, the area outside poundland, the entertainer and B&M in walsall town centre has been cordoned off due to a police incident. Please avoid the area."
While Walsall FC Police tweeted: "Please be aware of a separate police incident we are dealing with in Walsall town centre around the Digbeth area, resulting in certain pubs / shops having to close whilst initial investigations take place."
The Saddlers are due to take on Leicester City in the fourth round of the FA Cup at Poundland Bescot Stadium this afternoon.