Walter Exner was the son of the Asian art dealer and collector Anton Exner, with whom he compiled the Exner collection, of which the majority is held today by the MAK and a much smaller part by the Weltmuseum Wien. It is unknown how many objects from the collection were still privately owned by Walter Exner after 1945. He left school without a leaving certificate because he had to work as an unpaid assistant in his father's art dealership in Lerchenfelderstraße. His family's origins in the Sudetenland influenced Walter Exner's ideological beliefs. Even as a youth, he espoused the pan-German ideology. As a Protestant secondary school student he joined the Kreuzfahrer (crusader) Bible group. In 1930 he became a member of the NSDAP (membership number 300121) and the SA and in 1934 became responsible for managing the finances of SS-Standarte 81 and was promoted to Obertruppführer. Shortly before the July putsch in 1934, he travelled to Britain to avoid arrest, returning to Vienna in October of that year. In 1935 he travelled for the first time with his father to the Far East. On his return with the permission of Anton Exner he removed some objects from sale and started the Exner collection, which had grown by the time of the annexation of Austria to several thousand items. Anton Exner and Walter Exner subsequently acquired items specifically for their collection. In 1936/37 Walter Exner spent a year in Beijing and founded the Siebenberg-Verlag, in which several publications (co-)written by Walter Exner also appeared. Exner later moved the publishing headquarters to Austria and then to Germany. In 1937 Walter Exner organized his first exhibition in the Museum für Völkerkunde (Museum of Ethnology, now Weltmuseum Wien) with objects from Manchuria. He returned from his third and last buying trip to Asia shortly after the annexation.

Until he volunteered for the German Wehrmacht after the start of the Second World War, he admits to having been the main contact (V-Mann) for Asian art for the SD in Vienna, where his principal task was to prevent the export of valuable woodcuts. After the plan for an Asian art museum in Vienna came to nothing, Walter began in 1939 to build up the Asienarbeitskreis (Asia working group), which had its own publishing series, and supporting an alliance between Germany and Japan. The close but also extremely conflictual relationship with his overbearing authoritarian father had a marked influence on Walter's life. They fell out completely after Anton Exner, without consulting his son, transformed their loan to the Staatliches Kunstgewerbemuseum in Wien (State Arts and Crafts Museum in Vienna) in 1944 into a bequest in the case of his death and in 1946 agreed a further donation to the museum, once again without consulting his son.

After the end of the Nazi era, three charges were brought against Walter Exner at the Vienna Volksgericht under §§ 10 and 11 of the Prohibition Act, in which he was accused of being a member of the NSDAP and other Nazi organizations between 1933 and 1938. The cases were dropped. Walter Exner did not return permanently to Austria after the war but settled in Frankenau, his wife's birthplace, and later in Bad Wildungen. In a denazification process before the Spruchkammer in Frankenberg a. d. Eder (Hesse) he was classified as a minor offender thanks to the testimony of friends. He became a German citizen in 1960 without renouncing his Austrian citizenship. After his father's death he transferred the Asian art in his inheritance to West Germany and added new acquisitions to his collection. It included valuable Asian porcelain and sculptures and around 2,000 woodcuts. From 1956 to 1963 he directed the private Asien-Institut founded by him together with an Asian art museum in Frankenau, which he transferred in 1965 to Bad Wildungen and continued there until 1977. He was co-publisher of the series Geokultur: Beiträge zur Erforschung der geschichtlichen Dynamik. Later in his life he sold most of his Asian art collection. The MAK and Museum of Ethnology in Vienna acquired a large number of objects. The purchases and the donations in 1944 and 1946 were the object of systematic provenance research, complicated by the fact that, as with practically all of the items in the Exner collection, the original provenance remains unknown.