Gathers was freed Wednesday on $1,000 bond.
Waco police say a Wal-Mart employee on June 1 noticed a man with bedding and other items in a shopping cart who allegedly rolled out without paying. The worker recognized Gathers, who was an All-Big 12 power forward as a junior last season.
Store surveillance video helped lead to the arrest of the 21-year-old Gathers, who surrendered Tuesday on a charge of theft of less than $500.
Baylor coach Scott Drew released a statement saying school officials are aware of the arrest and are gathering facts to determine what happened.
Gathers, of LaPlace, Louisiana, is married with a toddler son.