Walden, who reached the semi-finals of the World Championship at the end of last season, showed superb form in winning seven matches to take the £20,000 top prize at the season's third European Tour event.
The 30-year-old from Chester, ranked ninth in the world, captured the third professional title of his career and first since last season's Wuxi Classic.
He won a scrappy opening frame in the final before Hong Kong's Fu levelled with an excellent break of 113. Walden regained the lead with a run of 44 and went 3-1 up with a well-constructed 73.
A drawn-out fifth frame went the way of Fu and the Hong Kong ace added the next with a break of 54 for 3-3.
The decider lasted 39 minutes and Fu looked in control when he led 38-2. Walden missed a long red and was lucky to fluke it into a centre pocket. And he took full advantage of that slice of fortune by clearing the table with 65 for victory.
"I got lucky in the end with the fluke," admitted Walden. "I feared the worst when it went 3-3 and I was just hoping for one chance. It's my first win in a European Tour event and hopefully I can win more this season.
"I took the positives out of my run at the Crucible. It was frustrating to lose in the semis but I played well and came so close to the final. I'm using a new cue this season and it's working so far."
The European Tour comprises eight events, with the top 24 on the final Order of Merit to qualify for the Grand Finals next March, to be joined by eight more players from the Asian Tour Order of Merit. The next event is the Paul Hunter Classic in Germany from August 22 to 25.
Results (last 16 onwards)
Mark Williams 4-0 Pankaj Advani
Steve Davis 3-4 Marco Fu
Anthony Hamilton 2-4 Ding Junhui
Jimmy Robertson 4-3 Vinnie Calabrese
Stephen Maguire 4-1 Peter Lines
Shaun Murphy 4-1 Tom Ford
David Gilbert 2-4 Ricky Walden
Mark Allen 4-2 Rod Lawler
Mark Williams 0-4 Marco Fu
Ding Junhui 4-1 Jimmy Robertson
Stephen Maguire 2-4 Shaun Murphy
Ricky Walden 4-3 Mark Allen
Marco Fu 4-3 Ding Junhui
Shaun Murphy 1-4 Ricky Walden
Marco Fu 3-4 Ricky Walden
Ball by ball scoring and results from tournaments