Although his "voice is definitely influenced by African-American music" he "kind of felt like free jazz was the domain of Black musicians.

"[5] While in Colorado, Shoup had a three-hour weekly show on KRCC, the Colorado College radio station, where, by Jason Heller's account (2003), he played jazz and experimental music from his own extensive collection and "began using the studio itself as an instrument, manipulating multiple turntables and mixing in guest musicians who would improvise over the records…" Describing a band he organized during this period, the Creative Music Ensemble (active circa 1973–74), Shoup later said, "I was still developing some chops on the sax, so I wasn't a player yet; I was just the instigator.

[3][6] After deciding he was ready to play the saxophone as a performer, he formed his first trio, in Colorado, with Ross Rabin and Keith Gardner, incorporating contact microphones on metal objects to create "noisescapes.

Writing in 1999, Andrew Bartlett described this as "Shoup's most vaunted ensemble… whose debut CD of the same name on the Apraxia label has become the stuff of legend."

[6] He also made two recordings with Nels Cline of Wilco: Immolation/Immersion (CD, 2005) and Suite: Bittersweet (LP, 2007), both on Strange Attractors Audio House.

Other projects included Spider Trio (with Jeffery Taylor and Dave Abramson) and the Wally Shoup Quartet (with Gust Burns, Bob Rees, and Paul Kikuchi).