Peck, who suffered multiple gunshot wounds, died later in hospital.
The gunman was found by officers two hours after the incident and was killed in a shootout with police.
Wesley, who is a trainee medic, had rushed over with a medical kit after seeing the victim lying in the road while on his way back from the mall.
While he was helping her, Walker returned to the scene and told him, 'If you're helping her, you are going to die, too.'
He shot him in the backside before continuing to fire, hitting an ambulance that had been flagged down. Wesley said luckily no other bystanders were hit.
Wesley told WAFB-TV: 'On his way back to the car, he shot me again, in the arm.
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'My feet were hanging off the curb and [when] he pulled away, he hit my legs and broke my femur in half.
'I was thinking "I am not going to die like he said … I am not going to die."'
He added: 'I wish I could have done more because that lady ended up dying.'
Walker has already had two operations and is expected to need further surgery on his arm.
A GoFundMe page has been set up to raise money to aid his recovery.