Agricultural and forestry wastes are used as materials for selective laser sintering (SLS) to alleviate resource shortage, reduce the pollution of the environment, lower the cost of materials, and improve the accuracy of parts produced by SLS. However, the mechanical properties of wood–plastic parts are poor, and thus they cannot be applied widely. In order to improve the mechanical properties of wood–plastic parts, a new type of walnut shell polymer composite (WSPC) was prepared by a polymer mixing method and was used to produce parts via SLS. Additionally, the dimensional accuracy, morphologies, density, and mechanical properties of the WSPC parts were studied. The results showed that the addition of a small amount of copolyamide (Co-PA) powder could effectively improve the mechanical properties and decrease the density of the WSPC parts. By increasing the amount of Co-PA powder and decreasing that of copolyester (Co-PES) powder, the mechanical properties first increased, then decreased, and finally increased again; in addition, the density first decreased then increased. By increasing the preheating temperature, the mechanical properties and density of the WSPC parts were enhanced.