Wall says Tina Fontaine's slaying in Manitoba should prompt governments to want to ask questions to make sure it doesn't happen again.
The premier says provinces and aboriginal leaders are united in calling for a public inquiry into the high number of missing and murdered aboriginal women.
He says momentum for an inquiry is picking up even if the federal government isn't on board.
The federal government has firmly rejected an inquiry, saying it prefers aboriginal justice programs and a national DNA missing person's index.
The issue will be on the agenda when premiers and aboriginal leaders hold their annual meeting this week in Prince Edward Island.
"There will be a call for an inquiry and it looks like the federal government is just saying "no," so I'm not sure there will be progress there, but the discussions are always helpful," Wall said Monday in an interview with The Canadian Press.
"The aboriginal leadership of the country puts these issues on the table and immediately I think premiers, provinces and territories start to look at ... what are we doing to respond to these things. It's (been) helpful to me in the past to come out of the meetings and talk to officials and say 'Where are we at?'
"We're making progress on some of the issues, but you know I think more can be done."
In May, the RCMP issued a detailed statistical breakdown of 1,181 cases since 1980. It said aboriginal women make up 4.3 per cent of the Canadian population, but account for 16 per cent of female homicides and 11.3 per cent of missing women.