I've heard the rumor before but have not seen any. It might have been from a southern state that I heard about.
When I lived in Georgia the local Wal-Mart had a master catalog on the counter and would order anything for you --rifle, pistol, or shotgun
I can confirm Clinton sells reloading supplies. I was in there Saturday, and they had 3-5 lbs of Unique, 4-5 lbs of IMR 4831, 6-8 lbs of IMR 4350, and some H1000 (didn't see how much). As for primers, they had ~15 CCI SPP 100 ct boxes, right around $4/ea. Lots of different dies, almost all RCBS IIRC. When I was there, they had 3 different sets of .223/5.56 dies (2 green packages, one black package with (AR .223/5.56) on package. Shellholders, press accessories, and some Rock Chuckers on the bottom shelf. Lots of bullets as well.
When I lived in North Carolina the local walmat had reloading supplies. They did not have the selection of the LGS but if you needed powder or primers or bullets on Sunday you could get them. They also had a much larger section for hunting and firearm products in the local store that we have in Indiana.