Fighting started between rival fans and police responded by using tear gas, which led to panic, a stampede, and the wall collapse.
Some fans were throwing projectiles including stones at others.
Pictures circulating online appear to show people scrambling over a low wall amid clouds of gas.
Local news agency APS reported that ambulances and firefighters were at the scene.
With the score 1-1 after 90 minutes, Mbour scored in the first period of extra time to win 2-1, and violence broke out at the final whistle.
Cheikh Maba Diop, whose friend died in the incident and who helped move people out of the stadium, told AFP news agency: "All of a sudden when the wall fell... we knew exactly that some of our own had lost their lives because the wall fell directly on to people."
A spokesman for the country's President Macky Sall said that campaigning for upcoming elections would be suspended on Sunday as a mark of respect, and that there should be "punishments serving as a warning".