The role of the walnut (Juglans regia L.) shell in nut development, transportation, cleaning, and storage is often ignored. The shell suture seal and thickness are directly associated with kernel characteristics. In the present study, shell differentiation and microstructure were observed with an optical microscope using paraffin-sectioning and cryosectioning. The results showed that the parenchymal cells of the endocarp began to differentiate into sclerenchymal cells from 49 d after flowering (DAF), and the entire process continued until fruit maturation. The mature shell consists of three parts, including the sclereid layer (L1), sclerenchymal cell layer (L2), and shrunken cell layer (L3), from the outside to the inside. The shell thickness, suture seal grade, and mechanical strength were evaluated, as well as the lignin, cellulose, and phenolic compounds of the shell. Suture seal grade was positively correlated with lignin content, shell thickness, and L1 thickness and negatively correlated with shell cell diameter. Similarly, the mechanical strength of the shell was positively correlated with lignin content and L1 thickness. ‘Qingxing’ fruits were subjected to two treatments, namely, 30% shading and 70% shading, from 10 d after anthesis to maturity, with no shading used as control. After harvesting in September, nutshell sections showed thinner shells, with decreased contents of lignin and polyphenols, obtained under shaded conditions, and two of the three parts of the shell changed dramatically. The thinning of L1 and thickening of L3 eventually led to a thinner shell. The aim of this study was to evaluate the relationship among the shell structure, cellular components, and physical properties and provide a theoretical basis for cultivar breeding, rational planting density, and regulation of shell development.