Wal-Mart has often found itself on the wrong end of a gun.

The company sells more firearms than any retailer on the planet, but this week Wal-Mart took aim at its own lax guns sales policies---and hit the target with some powerful potential political allies.

Wal-Mart told the media that it has joined New York Mayor Michael Bloomberg's group, Mayors Against Illegal Guns, in an initiative called The Responsible Firearms Retailer Partnership. Wal-Mart pledged to implement new gun sale...