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Shopper Rebecca Patterson said she and another shopper cornered the deer.
"I don't think the manager really believed it at first, but he did take charge of the situation," Patterson told WLEX-TV.
Kentucky Fish and Wildlife officers responded to the store and photos show them holding the deer next to an aisle of kitchen supplies.
The officers were able to safely release the uninjured deer back into the woods.
"That's the most fun I have had at Walmart ever, but it was stressful," Patterson said.
Walmart employees said there was no damage to the store or its merchandise during the incident.