As a vulnerable species in the Red List of China’s Vertebrates, Schizothorax waltoni (S. waltoni) is mainly distributed in the middle reaches of Yarlung Tsangpo River in Tibet. Due to its delicate meat and delicious taste, S. waltoni is the main economic fish in the producing area. But recently, it has undergone a drastic population decline due to the overfishing of fishery resources, the invasion of foreign species, environmental pollution and other factors. Therefore, it is extremely urgent to protect germplasm resource of S. waltoni. In this study, we used Illumina Hiseq 4000 sequencing to develop single nucleotide polymorphism (SNP) markers in S. waltoni. Based on a large number of transcriptome sequences and candidate SNP loci obtained by previous transcriptome studies, 63 SNPs were randomly selected from immune-related genes and 36 loci exhibited significant polymorphisms in genotyping by Sequenom MassARRAY. The observed heterozygosity and expected heterozygosity varied from 0.0789 to 0.9577 and 0.0763 to 0.5033, respectively. There is only 5 SNP loci accord with Hardy–Weinberg equilibrium (p > 0.05) and no linkage disequilibria. These polymorphic SNP markers could be used for conservation genetics research in S. waltoni, and may provide new insights into future conservation strategies.