The victory means Arsenal have now won a club-record 10 successive away games.
Walcott's sublime volley from the corner of the six-yard box 25 minutes from time gave Arsenal the lead on what was a difficult night in the south of France.
Neither side impressed in the opening 45 minutes but it was the home team who looked the more likely before Walcott struck, taking advantage of a poor clearance from Marseille full-back Jeremy Morel.
The win and three points came courtesy of Aaron Ramsey's sixth goal in six games just five minutes from the end.
Marseille did claim a consolation in injury time when Jordan Ayew converted a penalty - given away by Ramsey - but the whistle went almost immediately after and left the home side with no time to look for an equaliser.
Wenger made just one change for the match, with centre-back Mertesacker - who also took the captain's armband - brought in to play alongside Laurent Koscielny.
The teams were welcomed onto the pitch by a wall of sound, with Marseille first to threaten.
Gignac's flick goalwards had supporters on their feet, with Wojciech Szczesny then having to deal with a long-range Mathieu Valbuena effort.
The frenetic start continued as Arsenal went up the other end in search of an early goal.
A Mesut Ozil cross was nodded goalwards by Walcott, only for Nicolas N'Koulou to clear from danger.
The forward was proving a pest in the early stages, forcing Steve Mandanda into action before landing a chip on the roof of the net, albeit from an offside position.
The tempo soon calmed, though, with both sides content to keep possession as they searched for an opener.
Valbuena tried and failed after being set up by Andre Ayew in the 19th minute, before the roles reversed two minutes later.
The diminutive playmaker whipped in a corner and the Ghana international found space to flash a header just wide.
It was the closest either side had come to an opener, although the North Londoners may feel aggrieved not to have been awarded a penalty soon after.
Ozil swung in a corner from which Mertesacker was caught in the face by Alaixys Romao, but referee Olegario Benquerenca showed no interest in awarding a penalty.
Only last-ditch defending by Mertesacker prevented a Dimitri Payet ball across the six-yard box being directed home as Marseille ended the half on top, with Gignac seeing a glancing header fly just over.
Marseille continued in the ascendancy after the restart, with Fanni smashing a half-volley inches wide.
Mandanda was forced into a fine reaction save to deny Gibbs finishing a move he started, before the Marseille goalkeeper denied Jack Wilshere.
It was not all Arsenal, though. Szczesny thwarted a driven Payet effort and Gibbs came to Mertesacker's rescue in the 60th minute just as Gignac was about to nod into an open goal.
It was a missed chance Marseille were made to pay for just four minutes later. Morel misread a Gibbs cross and the ball fell kindly for Walcott, who lashed home impressively from close range.
Payet and Valbuena kept threatening as Marseille pushed for an equaliser, but Arsenal were still proving a threat - highlighted by a Giroud header just wide.
Ozil also came close in the closing stages, before Ramsey put the match out of sight by shrugging off Marseille defenders to fire home.
Jordan Ayew struck home a stoppage time penalty after Ramsey was adjudged to have tripped Andre Ayew, but it was a mere consolation as the whistle went almost as soon as the game re-started.