[2] The name was inspired by a fan of the composer Richard Wagner, and the hamlet is known both as the home of the primary hospital campus of Westchester Medical Center and New York Medical College and as the burial place of numerous noted people.

The Kensico Cemetery is the final resting place of numerous famous people, including legendary New York Yankees star Lou Gehrig; virtuoso pianist, composer, and conductor Sergei Rachmaninoff; the author Ayn Rand; and NBC founder David Sarnoff.

On July 12, 2006, the Westchester tornado, an F2 event, touched down in nearby Hawthorne and proceeded to move into Valhalla, causing much destruction in the Stonegate section of the community.

The ceremony was held at the Kensico Dam honoring the athletes and their families and was attended by Governor Eliot Spitzer among other politicians.

[4] According to the United States Census Bureau, the hamlet has a total area of 0.81 square miles (2.1 km2), all land.

As of the 2000 U.S. Census, 34.2% of residents were of Italian ancestry, the 28th highest number of Italian-Americans per capita of all communities in the United States.

In April 2017, Westchester County officials unveiled plans for an 80-acre, 3 million square-foot biotechnology hub to be built with US$1.2 billion in private investment on vacant land adjacent to Westchester Medical Center in Valhalla; the bioscience center, a public-private partnership, is anticipated to create 12,000 new jobs and include over 2.25 million square feet of biotechnology research space.

The Valhalla train station is located right off the Taconic State Parkway, across from the hamlet's commercial center.

The train station is the next major stop of Metro-North Railroad after North White Plains, when proceeding northbound from New York City.

Columbus Avenue also contains the Kensico Dam, and Holy Name of Jesus Church, as well as shops and restaurants.

The Valhalla ZIP Code (10595) includes portions of the towns of Mount Pleasant, Greenburgh, and North Castle.

Some areas of Valhalla are served by Westlake High School, located in nearby Thornwood.