When Wal-Mart Stores Inc. informed record labels it was looking for CDs to include in a promotion of Jewish music last year, executives at Naxos of America Inc. leapt at the chance to get some of their ethnic recordings onto the shelves of the big-box retailer.

But within months of shipping thousands of CDs to Wal-Mart, the classical music distributor's loading docks were swamped with unsold copies of "Klezmer Concertos & Encores" and "Great Songs of the Yiddish Stage." Since they hadn't sold quickly enough to meet the retailing...