The 37-year-old, who lived in the canton of Vaud, was part of a group of six climbing the Farinetta route at the Salentze gorge near the village of Saillon, said Valais police in a statement.
The group were on the third and most difficult section of the via ferrata when the victim fell for unknown reasons.
The man's body was taken from the scene by Air Glaciers helicopter.
An investigation has been opened into his death.
Via ferrata is a type of climbing that is popular all over Europe, with many routes in Switzerland.
Unlike traditional climbing, via ferrata involves scaling cliffs using metal footholds fixed to the rock. Climbers use a harness and carabiners to attach themselves to a steel cable running alongside the route.
Though it is now a leisure pastime, the method is thought to have been widely used by soldiers in the Italian Dolomites during the First World War as a way to cross the mountains.
The Farinetta via ferrata is so-called because of a 19th century counterfeiter, Joseph-Samuel Farinet, who spent time in the village of Saillon as he tried to evade the authorities. He fell to his death in the Salentze gorge in 1880.
According to 20 Minutes since the hardest section of the Farinetta opened three years ago air rescue service Air Glaciers has had to help around a dozen people in difficulty.