It is the first title the Northern Irishman has won in Europe following World Opens in China in 2012 and 2013.
Allen, 30, led 6-3 at the end of the first session before being pegged back to 7-6 by England's Walden.
But two half-century breaks helped Allen close out victory, which he wrapped up with a 67 break.
Allen, ranked number five in the world, had earlier recovered from 3-1 down to win five successive frames before the evening session.
Walden, 33, hit the highest break of the match, a 92 in the 12th frame, but could not prevent Allen from going on to collect the £100,000 prize.
Allen said: "From 3-1 down I found a bit of form. I won six frames on the spin and got my confidence back.
"But tonight I was very nervous. I just wanted to get out there and get the job done. It means so much to me.
"I just want to win tournaments. I think I am good enough to compete at the highest level. I just haven't showed it."
Mark Allen beat Ricky Walden 10-6 in the final of the Players Championship in Manchester to claim his third world-ranking title.